*
* Example 11.1, page 404.
* Heteroscedasticity testing.
*
all 9
*
* The only lines in Table 11.1 that we need are the 11th and 13th, which give the
* average compensation and average productivity. These can be obtained easily
* with a copy and paste. The "industry" number is deleted. Note, however, a typo
* in y(5) in the text file, which is corrected below.
*
data(unit=input,format=free) / y x
3396.00 3787.00 4013.00 4104.00 4146.00 4241.00 4387.00  4538.00  4843.00
9355.00 8584.00 7962.00 8275.00 8389.00 9418.00 9795.00 10281.00 11750.00
linreg y
# constant x
set u = %resids
*
* Park test for heteroscedasticity
*
set logusq = log(u**2)
set logx   = log(x)
linreg logusq
# constant logx
*
* Glejser test. Results in the book seem to be slightly off.
*
set absu = abs(u)
linreg absu
# constant x
*
* Koenker-Bassett test (page 415)
*
prj yhat
set usq    = u**2
set yhatsq = yhat**2
linreg usq
# constant yhatsq