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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 | # Groupwise heteroskedasticity analysis using the Grunfeld
# investment data (see Greene, 4e, pp. 594-599), including
# the inset "Example 15.3"
open greene13_1.gdt
# generate panelized variables (stacked time series)
genr It = stack(I_GM,I_CH,I_GE,I_WE,I_US)
genr Ft = stack(F_GM,F_CH,F_GE,F_WE,F_US)
genr Ct = stack(C_GM,C_CH,C_GE,C_WE,C_US)
# first, treat as if plain cross-sectional regression
setobs 1 1 --cross
ols It 0 Ft Ct
# note: "robust" below gives regular White's standard errors
ols It 0 Ft Ct --robust
# Run White's test
modtest --white --quiet
# Now treat as panel
setobs 20 1:1 --stacked-time
# OLS estimates should be exactly as above
ols It 0 Ft Ct
# With the dataset defined as a panel, "robust" produces Arellano-type
# HAC estimates by default
ols It 0 Ft Ct --robust
# For comparison with Greene, show Beck and Katz "Panel Corrected
# Standard Errors" (these are not robust with respect to autocorrelation)
set pcse on
ols It 0 Ft Ct --robust
# groupwise wls
panel It 0 Ft Ct --unit-weights
# iterate to ML solution
panel It 0 Ft Ct --unit-weights --iterate --verbose
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