SAMPLE 1 51
FORMAT (A8,F6.0,1X,F6.0)
READ (GREENE.txt) STATE EXP INCOME / SKIPLINES=1 FORMAT
* First scale the INCOME data 
GENR INCOME=INCOME/1000
* Generate the square of income
GENR INC2=INCOME**2
* Exclude missing values from the analysis
SET MISSVALU=-99
SET SKIPMISS
* Model estimation as reported in Table 14.2 of Greene (1993)
OLS EXP INCOME INC2
* Tests for heteroskedasticity
DIAGNOS / HET
* Get heteroskedasticity-consistent standard errors (Greene, Table 14.3)
OLS EXP INCOME INC2 / HETCOV
*
* Weighted least squares estimation (Greene, Table 14.4, p.398)
*   Assumption A : Variance is proportional to INCOME
GENR WT=1/INCOME
OLS EXP INCOME INC2 / WEIGHT=WT PREDICT=YHAT RESID=E
*   Test for heteroskedasticity  (approx. 1% critical value = 6.64)
    GENR E2=E*E
    ?OLS E2 YHAT
    GEN1 LM=$N*$R2
    PRINT LM
*   Assumption B : Variance is proportional to INCOME**2
GENR WT=1/(INCOME**2)
OLS EXP INCOME INC2 / WEIGHT=WT PREDICT=YHAT RESID=E
    GENR E2=E*E
    ?OLS E2 YHAT
    GEN1 LM=$N*$R2
    PRINT LM
STOP