*
* Example 11.9, page 422.
*
open data table6-4.prn
data(format=prn,org=columns) 1 64
*
linreg cm / resids
# constant pgnp flr
*
* Park test
*
prj cmhat
set usq = resids**2
linreg usq
# constant cmhat
*
* Glejser test
*
set absu = abs(resids)
linreg absu
# constant cmhat
*
* White test - done using auxiliary regressions
*
set gnpsq  = pgnp**2
set flrsq  = flr**2
set gnpflr = pgnp*flr
linreg usq
# constant pgnp flr gnpsq flrsq
cdf(title="White Test Omitting Cross Term") chisqr %trsquared 4
linreg usq
# constant pgnp flr gnpsq flrsq gnpflr
cdf(title="White Test Including Cross Term") chisqr %trsquared 5
*
* White test - done using the RegWhiteTest procedure. You apply this immediately
* after the regression that you want to test. Use the TYPE=NOCROSS option to get
* the test without the cross terms.
*
linreg cm
# constant pgnp flr
@RegWhiteTest
@RegWhiteTest(type=nocross)
*
* Regression with White standard errors (done using the ROBUSTERRORS option).
* Note that this doesn't change the coefficients, only the std errors and t-stats.
*
linreg(robusterrors) cm
# constant pgnp flr