*
* Example from section 15.4.3, starting page 396
*
open data nls_panel.dat
calendar(panelobs=5)
all 716//5
data(format=free,org=columns) 1//1 716//5 id year lwage hours age educ collgrad msp nev_mar $
 not_smsa c_city south black union exper exper2 tenure tenure2
*
preg(method=fixed) lwage
# constant exper exper2 tenure tenure2 south union
*
linreg lwage
# constant educ exper exper2 tenure tenure2 black south union
mcov(cluster=%indiv(t)) / %resids
# constant
compute num=%cmom(1,1)
mcov / %resids
# constant
compute den=%cmom(1,1)
compute lm=.5*%nobs/(5-1)*((num/den-1.0))^2
cdf(title="Breusch-Pagan test") chisqr lm 1
*
preg(method=random) lwage
# constant educ exper exper2 tenure tenure2 black south union
preg(method=random,vrandom=.1951^2,vindiv=.3291^2) lwage
# constant educ exper exper2 tenure tenure2 black south union