* Wage Equation Model with Panel Data
*
* Keywords:
*     regression, ols, panel, pooled cross-section, heteroskedasticity, wage
*
* Description:
*     We illustrate how to correct for Heteroskedasticity in the OLS Model for 
*     Monthly Credit Card Expenditure using White's and Davidson-MacKinnon
*     standard errors and how to do a Wald test
*
* Author(s):
*     Noel Roy
*     Skif Pankov
*
* Source:
*    William H. Greene, Econometric Analysis - 7th Edition
*    Pearson International Edition, Chapter 11, Example 11.1 (page 391)
*
* Reading the datafile and retrieving names of the variables
read (TableF8-1.shd) / names

* Generating the square of exp
genr exp2=exp**2

* Running an OLS regression of lnwage on remaining variables, specifying that 
* it is a log-linear model
ols lwage exp exp2 wks occ ind south smsa ms fem union ed blk / loglin


* Re-running the previous regression, specifying in addition to obtain the White 
* heteroskedaticity consistent standard errors
ols lwage exp exp2 wks occ ind south smsa ms fem union ed blk / hetcov loglin

* Increasing the memory allocation to 4500 kilobytes
par 4500

* Estimating the pooled cross-section time-series models, specifying to use
* seven time units in the data
pool lwage exp exp2 wks occ ind south smsa ms fem union ed blk / ntime=7 hetcov loglin

stop

* Comments:
*     For reasons that are not clear, the panel robust standard errors do not agree 
*     with those reported in Table 11.1.