*
* Example 3.4 from pages 65-68
*
open data housing.dat
data(format=prn,org=columns) 1 546 price lotsize bedrooms bathrms stories driveway $
  recroom fullbase gashw airco garagepl prefarea
*
set lprice = log(price)
set llot   = log(lotsize)
*
* First specification
*
linreg lprice
# constant llot bedrooms bathrms airco
*
* Compute the projected log price for 5000 sq ft lot, 4 bedrooms, 1 bath, no A/C
*
compute elogp=%dot(%beta,||1.0,log(5000),4,1,0||)
*
* Compute the projected actual price corrected for exponentiation.
*
disp "Projected Price" exp(elogp+.5*%seesq)
*
* RESET test. At first, we'll demonstrate how to do the auxiliary regressions.
*
prj fitted
set fit2 = fitted**2
set fit3 = fitted**3
linreg lprice
# constant llot bedrooms bathrms airco fit2
exclude(title="RESET test with quadratic")
# fit2
linreg lprice
# constant llot bedrooms bathrms airco fit2 fit3
exclude(title="RESET test with quadratic and cubic")
# fit2 fit3
*
* In practice, you'll probably just want to use the @RegRESET procedure. After the
* LINREG that you want to test, do @RegRESET(h=power)
*
linreg lprice
# constant llot bedrooms bathrms airco
@RegRESET(h=2)
@RegRESET(h=3)
*
linreg lprice
# constant llot bedrooms bathrms airco $
  stories driveway recroom fullbase gashw garagepl prefarea
exclude(title="Test of Added Variables")
# stories driveway recroom fullbase gashw garagepl prefarea
@RegRESET(h=2)
@RegRESET(h=3)
*
set bedxarea = bedrooms*prefarea
linreg lprice
# constant llot bedrooms bathrms airco $
  stories driveway recroom fullbase gashw garagepl prefarea bedxarea
*
* Return to the preferred regression. Compute a projected price for a fairly well
* equipped house.
*
linreg lprice
# constant llot bedrooms bathrms airco $
  stories driveway recroom fullbase gashw garagepl prefarea
compute elogp=%dot(%beta,||1.0,log(10000),4,1,1,2,1,1,1,1,2,1||)
disp "Projected Price" exp(elogp+.5*%seesq)
*
* Since we're going to need it for the PE test, get the fitted values from
* the log regression
*
linreg lprice
# constant llot bedrooms bathrms airco $
  stories driveway recroom fullbase gashw garagepl prefarea
prj logfit
*
* Do the regression with price and lotsize as linear variables
*
linreg price
# constant lotsize bedrooms bathrms airco $
  stories driveway recroom fullbase gashw garagepl prefarea
prj linfit
*
* Test linear vs partial log regression
*
set loglin = log(linfit)-logfit
*
linreg price
# constant lotsize bedrooms bathrms airco $
 stories driveway recroom fullbase gashw garagepl prefarea loglin
exclude(title="Test of linear vs log")
# loglin
*
* Test log vs linear regression
*
set linlog = exp(logfit)-linfit
linreg lprice
# constant llot bedrooms bathrms airco $
  stories driveway recroom fullbase gashw garagepl prefarea linlog
exclude(title="Test of log vs linear")
# linlog