*
* Example 8.7 from page 278
*
open data smoke.raw
data(format=free,org=columns) 1 807 educ cigpric white age income cigs restaurn lincome agesq lcigpric
*
linreg cigs / u
# constant lincome lcigpric educ age agesq restaurn
*
* Tests for heteroscedasticity
*
set usq = u**2
linreg(noprint) usq
# constant lincome lcigpric educ age agesq restaurn
exclude(title="Breusch-Pagan, F Form")
# lincome lcigpric educ age agesq restaurn
cdf(title="Breusch-Pagan, LM Form") chisqr %trsquared 5
*
* Feasible GLS
*
set logusq = log(u**2)
linreg logusq
# constant lincome lcigpric educ age agesq restaurn
prj fitlog
linreg(spread=exp(fitlog)) cigs
# constant lincome lcigpric educ age agesq restaurn