sample 1 21
* Read the Theil (1971) data set for Klein's Model I
read (klein.txt) w2 t g time1 plag klag xlag c i w1 p w1w2 xx
2sls c plag p w1w2 (w2 t g time1 plag klag xlag) / DN COEF=BETA RESID=U
GEN1 DF1=$DF
GEN1 K=$K
GENR U2=U*U
GENR ONE=1
* Copy regressors into the matrix X
COPY  plag p w1w2 one  X
* Copy instruments into the matrix Z
COPY w2 t g time1 plag klag xlag one  Z

* Calculate heteroskedasticity-consistent standard errors
MATRIX X=Z*(INV(Z'Z)*(Z'*X))
MATRIX XINV=INV(X'X)
MATRIX HC=XINV*(X'DIAG(U2)*X)*XINV
* Calculate the corrected standard errors and t-ratios
MATRIX HSE=SQRT(DIAG(HC))
SAMPLE 1 K
GENR T=BETA/HSE

* Get p-values
* Take the absolute value of the t-ratios.
GENR TRA=ABS(T)
* Use the DISTRIB command - save the CDF in the variable CDF1
DISTRIB TRA / TYPE=T DF=DF1 CDF=CDF1
* Get the p-value for a 2-sided test.
GENR PVAL=2*(1-CDF1)

FORMAT (F10.3,F10.4,F10.3,F10.5)
PRINT BETA HSE T PVAL / FORMAT
STOP