*
*  Example 4.1
*  J. Wooldridge, Econometrics of Cross Section and Panel Data
*
*  Note: The sample data files include all required data transformations.
*        However, in many cases we show how these data transformations would
*        be created in RATS from the basic data, as this is something you will
*        need to know how to do in practice.
*
open data mroz.raw
data(format=free,org=columns) 1 428 inlf hours kidslt6 kidsge6 age educ wage repwage $
 hushrs husage huseduc huswage faminc mtr  motheduc fatheduc $
 unem city exper nwifeinc lwage expersq
*
set lwage   = log(wage)
set expersq = exper**2
*
* Estimate regression with non-robust standard errors.
*
linreg lwage
# constant exper expersq educ age kidslt6 kidsge6
*
* Test exclusion of age and kids variables
*
exclude(title="Wald Test")
# age kidslt6 kidsge6
*
* Do LM version of test -
* start with restricted regression and save the residuals
*
linreg lwage / resids
# constant exper expersq educ
*
* Now regress residuals on the full set of variables. The variable %TRSQ is the
* test statistic. It's asymptotically chisquared with 3 df.
*
linreg resids
# constant exper expersq educ age kidslt6 kidsge6
cdf(title="LM Test") chisqr %trsq 3
*
* Reestimate using robust standard errors
*
linreg(robusterrors) lwage
# constant exper expersq educ age kidslt6 kidsge6
*
*  Repeat exclusion restriction (from Example 4.1, continued)
*  with the robust covariance matrix.
*
exclude(title="Heteroskedasticity Consistent Wald Test")
# age kidslt6 kidsge6
*
* Robust LM test (from Example 4.1 continued)
* There's a procedure (described below) to do this, but this goes through the
* steps described in the text.
*
linreg(noprint) age / rage
# constant exper expersq educ
linreg(noprint) kidslt6 / rlt6
# constant exper expersq educ
linreg(noprint) kidsge6 / rge6
# constant exper expersq educ
*
* An OPG test like this can be done using MCOV with the OPGSTAT option. This
* produces the test statistic, and CDF can then be used to compute and print the
* significance level.
*
mcov(opgstat=lmrobust) / resids
# rage rlt6 rge6
cdf(title="Robust LM Test") chisqr lmrobust 3
*
* Same test done using the RobustLMTest procedure. You follow the regression with
* @RobustLMTest and list the test variables below.
*
linreg lwage
# constant exper expersq educ
@RobustLMTest
# age kidslt6 kidsge6