Code: Select all
'uses workfile containing Greene data (page 299 of Greene 2003)
wfopen "http://www.stern.nyu.edu/~wgreene/Text/tables/TableF7-1.txt"
rename c01 cost
pagestruct i t
'estimate equation and store N and T
equation e1.ls() log(cost) c log(q) log(pf) lf
!n=e1.@ncross
!t=e1.@npers
'make residual series from equation
e1.makeresids e1resids
'make squared residuals
series e1residssq=e1resids*e1resids
!sum_resid_sq = @sum(e1residssq)
'Find sum of cross section sums squared
!sum_sq_sums=0
for !i=1 to !n
smpl if @crossid=!i
!sum=@sum(e1resids)
!sum_sq_sums=!sum_sq_sums+!sum^2
smpl @all
next
delete e1resids
delete e1residssq
'Results
Table BP
bp.setwidth(1) 25
BP(2,1)="Breusch-Pagan LM Test:"
BP(1,2)="Value"
BP(1,3)="Prob."
!LM=!n*!t/(2*(!t-1)) * (!sum_sq_sums/!sum_resid_sq - 1)^2
BP(2,2)=!lm
!prob=1-@cchisq(!lm,1)
bp(2,3)=!prob
Show bp