## "Fossies" - the Fresh Open Source Software Archive

### Member "gretl/scripts/ramanathan/ps8-6.inp" (2 Oct 2015, 888 Bytes) of package /windows/misc/gretl-2020e-win32.zip:

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1 # PS8.6, to reproduce Example 8.7
2 open data8-2
3 ols exptrav 0 income
4 # save absolute value of errors as absuhat1
5 genr absuhat1=abs($uhat)
6 # auxiliary regression for the Glejer test
7 ols absuhat1 0 pop
8 # compute test statistic and p-value
9 genr LM1=$nrsq
10 pvalue X 1 LM1
11 # since heteroscedasticity is detected, divide model by pop and
12 # estimate by OLS
13 genr pcexp=exptrav/pop
14 genr pcincm=income/pop
15 genr invpop=1/pop
16 # estimate transformed model -- note that there is no constant term
17 ols pcexp invpop pcincm
18 # test for heteroscedasticity on the transformed model
19 genr absuhat2=abs($uhat)
20 ols absuhat2 0 pop
21 genr LM2=$nrsq
22 # the high p-value suggests that we cannot reject homoscedasticity and
23 # hence OLS is acceptable
24 pvalue X 1 LM2
25 # wls command is a short cut -- coeff., tstat, ess, should be the same
26 # but Rsquared will be different
27 genr w = invpop^2
28 wls w exptrav 0 income
29
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