/*
** Lesson 9.2: Goldfeld-Quandt Test and 
** Correction for Heteroscedasticity
*/
use gpe2;
output file = gpe\output9.2 reset;
load greene[52,3]= gpe\greene.txt;
data = greene[2:52,.];
	       
data = miss(data,"NA"); @ NA to missing value @
data = packr(data);   @ deletes row w/missing value @
data = sortc(data,3); @ sort data according income @
spending = data[.,2];
income = data[.,3]/10000;

/* Goldfeld-Quandt Test */
call reset;
_names = {"spending","income","income^2"};
_begin = 1;
_end = 17;
call estimate(spending,income~income^2);
mss1 =__rss/14; @ N-K = 17-3 = 14 @

_begin = 34;
_end = 50;
call estimate(spending,income~income^2);
mss2 =__rss/14; @ N-K = 17-3 = 14 @

print "Goldfeld-Quandt Test Statistic = " mss2/mss1;

/* Weighted Least Squares */
call reset;
_weight = 1/income;
call estimate(spending,income~income^2);
end;