* Heteroskedasticity * Reference: Chapter 11 of * R. Carter Hill, William E. Griffiths and George G. Judge, * Undergraduate Econometrics, Second Edition, Wiley. * * Table 3.1 contains data on food expenditure (Y) and weekly income (X) * from a random sample of 40 households. SAMPLE 1 40 READ (TAB3-1.shd) FOOD INCOME / SKIPLINE=1 * Section 11.2.1, pp.240-241 * Calculate OLS standard errors OLS FOOD INCOME * Construct a 95% confidence interval estimate for the coefficient on INCOME * Equation (R11.3), p.241 CONFID INCOME * Specify the HETCOV option to calculate "White's" standard errors OLS FOOD INCOME / HETCOV CONFID INCOME * Weighted Least Squares - Section 11.3 * Specify a weight variable (SHAZAM works with the inverse) GENR W=1/INCOME * Equation (R11.4), p.243 OLS FOOD INCOME / WEIGHT=W * 95% confidence interval - Equation (R11.5), p.244 CONFID INCOME STOP