*
* Example 11.10, page 423
*
open data table11-5.prn
data(format=prn,org=columns) 1 18
table
linreg rd / resids
# constant sales
*
* Park test
*
set usq = resids**2
linreg usq
# constant sales
*
* Glejser test
*
set absu = abs(resids)
linreg absu
# constant sales
*
scatter(window="Residuals vs Sales")
# sales resids
scatter(window="Squared Residuals vs Sales")
# sales usq
*
* White test
*
set salesq = sales**2
linreg usq
# constant sales salesq
cdf(title="White Test") chisqr %nobs*%rsquared 2
*
* Weighted least squares
*
linreg(spread=sales) rd
# constant sales
*
* OLS with White standard errors
*
linreg(robusterrors) rd
# constant sales