* Heteroskedasticity * Reference: Chapter 11.5 of * R. Carter Hill, William E. Griffiths and George G. Judge, * Undergraduate Econometrics, Second Edition, Wiley. SAMPLE 1 26 READ (TAB11-1.shd) Q P * Generate a time index GENR T=TIME(0) * Define a variable to use as the weight variable GENR WT=0 * Generalized Least Squares - Section 11.5.3 * STEP 1 : Separate OLS regression for the two observation subsets * First subset SAMPLE 1 13 OLS Q P T * Save the estimated error variance in the weight variable * Equation (R11.7), p.249 GENR WT=1/$SIG2 * Second subset SAMPLE 14 26 OLS Q P T GENR WT=1/$SIG2 * * STEP 2 : Get the weighted least squares (WLS) estimates SAMPLE 1 26 * Equation (R11.8), p.249 OLS Q P T / WEIGHT=WT NONORM NOMULSIGSQ * Confidence intervals for the coefficients on P and T * Equation (R11.9), p.249 CONFID P T * Goldfeld-Quandt test for heteroskedasticity - Section 11.5.4 OLS Q P T * Get the GQ test statistic - Equation (R11.10), p. 250 DIAGNOS / CHOWONE=13 STOP