* Heteroskedasticity in OLS Model for Consumption
*
* Keywords:
* regression, ols, linear, heteroskedasticity, goldfeld-quandt, test,
* consumption, expenditure, income
*
* Description:
* We illustrate how to estimate a linear OLS Model for Consumption Expenditure
* and use Goldfeld-Quandt Heteroskedasticity Test
*
* Author(s):
* Skif Pankov
*
* Source:
* Damodar N. Gujarati and Dawn C. Porter, Basic Econometrics - 5th Edition
* McGraw-Hill International Edition, Chapter 11, Example 11.4 (page 383)
*
sample 1 30
* Reading the datafile and naming variables
read(data_11.4.shd) y x
* Sorting the dataset by variable x in ascending order
sort x y
* Running an OLS regression of y on x
ols y x
* Conducting a Goldfeld-Quandt test on the previous regression - it is
* initiated in a chowtest option by specifying the number of observations
* to be ommited in the middle of the sample (gqobs = 4); we also split the
* dataset evenly (chowone = 15)
diagnos / chowtest chowone = 15 gqobs = 4
stop