** Chapter 8.4 ** for W.H. Greene, Econometric Analysis 6th ed. ****************
* (c) Noel Roy 2003, 2008
*
*	                           8.4 HETEROSKEDASTICITY
*
*===============================================================================
*
* Example 8.1 (p. 159) Heteroskedastic Regression
*
READ (TableF8-1.prn) /NAMES 
*
* First generate the variable INCOME2.
* 
GENR Income2=Income**2
*
* Use only those observations for which Avgexp is nonzero.
* The SKIPIF (expression) command will cause subsequent commands to skip 
* observations for which the value of the expression is positive or true.
* 
SET NOWARNSKIP
SKIPIF (Avgexp .EQ. 0)
*
* Run the regression of Avgexp on Age, Ownrent, Income and Income squared using OLS.
*
?OLS Avgexp Age Ownrent Income Income2 / RESID=U
*
* Replicate Figure 8.1 by plotting the residuals U against Income.
* The SKIPped observations have missing U, so turn off the warnings.
*
SET NOWARNMISS
GRAPH U Income / NOKEY
*
STOP
*===============================================================================
* Updated September 4, 2008