(* PS8.6, using DATA8-2, to reproduce Example 8.7 *)
ols exptrav 0 income 
(* save absolute value of errors as absuhat1 *)
genr absuhat1=abs(uhat)
(* auxiliary regression for the Glejer test *)
ols absuhat1 0 pop
(* compute test statistic and p-value *)
genr LM1=$nrsq
pvalue 3 1 LM1
(* since heteroscedasticity is detected, divide model by pop and
estimate by OLS *)
genr pcexp=exptrav/pop
genr pcincm=income/pop
genr invpop=1/pop
(* estimate transformed model -- note that there is no constant term *)
ols pcexp invpop pcincm
(* test for heteroscedasticity on the transformed model *)
genr absuhat2=abs(uhat)
ols absuhat2 0 pop
genr LM2=$nrsq
(* the high p-value suggests that we cannot reject homoscedasticity and 
hence OLS is acceptable *)
pvalue X 1 LM2
(* wls command is a short cut -- coeff., tstat, ess, should be the same
but Rsquared will be different *)
wls invpop exptrav 0 income


