GLESJER TEST

genr lnsalary=LOG(salary)
ls lnsalary c years years^2
genr uhat=resid
genr absuhat=abs(uhat)
ls absuhat c years years^2
absuhat1= absuhat forecast
genr wt1=1/absuhat1
ls lnsalary c years years^2
BREUSCH-PAGAN TEST
genr lnsalary=LOG(salary)
ls lnsalary c years years^2
genr uhat=resid
genr usq=uhat^2
ls usq c years years^2
usqhat1 = usq forecast
genr d1=usqhat1>0 d1=1 if usqhat1>0
genr usqhat2=(d1*usqhat1)+((1-d1)*usq)
genr wt2=1/@sqrt(usqhat2)
ls lnsalary c years years^2
WHITE TEST
genr lnsalary=LOG(salary)
ls lnsalary c years years^2
genr uhat=resid
genr usq=uhat^2
ls usq c years years^2 year^3 year^4
usqhat3 = usq forecast
genr d1=usqhat3 >0 d1=1 if usqhat3>0
genr usqhat4=(d1*usqhat3)+((1-d1)*usq)
genr wt3=1/@sqrt(usqhat4)
ls lnsalary c years years^2
HARVEY GODFREY TEST
genr lnsalary=LOG(salary)
ls lnsalary c years years^2
genr uhat=resid
genr usq=uhat^2
ls lnusq c years years^2
lnusq1 = lnusq forecast
genr usqhat5=exp(lnusq1)
genr wt4=1/@sqrt(usqhat5)
ls lnsalary c years years^2

Dependent Variable: LNSALARY

Method: Least Squares
Date: 10/27/02 Time: 16:33
Sample: 1 222
Included observations: 222
Variable
Coefficient
C
3.809365
YEARS
0.043853
YEARS^2
-0.000627
R-squared
0.536179

Std. Error
t-Statistic
Prob.
0.041338
92.15104
0.0000
0.004829
9.081645
0.0000
0.000121 -5.190657
0.0000
Mean dependent var
4.325410

Dependent Variable: ABSUHAT

Method: Least Squares
Date: 10/27/02 Time: 16:40
Sample: 1 222
Included observations: 222
Variable
Coefficient
C
0.031202
YEARS
0.014392
YEARS^2
-0.000298
R-squared
0.130283

Std. Error
t-Statistic
Prob.
0.024073
1.296178
0.1963
0.002812
5.118277
0.0000
7.04E-05 -4.227328
0.0000
Mean dependent var
0.160558

Dependent Variable: LNSALARY

Method: Least Squares
Date: 10/27/02 Time: 16:45
Sample: 1 222
Included observations: 222
Weighting series: WT1
White Heteroskedasticity-Consistent Standard Errors & Covariance
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
3.841553
0.016490
232.9673
0.0000
YEARS
0.036555
0.003803
9.611956
0.0000
YEARS^2
-0.000407
0.000114 -3.583774
0.0004
Weighted Statistics
R-squared
0.991118 Mean dependent var
4.241177
Adjusted R-squared
0.991037 S.D. dependent var
1.799904
S.E. of regression
0.170401 Akaike info criterion
-0.687901
Sum squared resid
6.359008 Schwarz criterion
-0.641919
Log likelihood
79.35699 F-statistic
301.7902
Durbin-Watson stat
1.538188 Prob(F-statistic)
0.000000
Unweighted Statistics
R-squared
0.527311 Mean dependent var
4.325410
Adjusted R-squared
0.522994 S.D. dependent var
0.302511
S.E. of regression
0.208931 Sum squared resid
9.559851
Durbin-Watson stat
1.589499

Dependent Variable: LNSALARY

Method: Least Squares
Date: 10/27/02 Time: 17:23
Sample: 1 222
Included observations: 222
Weighting series: WT1
Variable
Coefficient
C
3.841553
YEARS
0.036555
YEARS^2
-0.000407
Weighted Statistics
R-squared
0.991118
Adjusted R-squared
0.991037
S.E. of regression
0.170401
Sum squared resid
6.359008
Log likelihood
79.35699
Durbin-Watson stat
1.538188
Unweighted Statistics
R-squared
0.527311
Adjusted R-squared
0.522994
S.E. of regression
0.208931
Durbin-Watson stat
1.589499

Std. Error
0.018696
0.003079
7.95E-05

t-Statistic
205.4756
11.87188
-5.118139

Prob.
0.0000
0.0000
0.0000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

4.241177
1.799904
-0.687901
-0.641919
301.7902
0.000000

Mean dependent var

S.D. dependent var
Sum squared resid

4.325410
0.302511
9.559851

White Heteroskedasticity Test:

F-statistic
6.579470
Obs*R-squared
18.43172

Probability
Probability

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 10/27/02 Time: 17:30
Sample: 1 222
Included observations: 222
Variable
Coefficient
C
-0.026716
YEARS
0.009717
YEARS^2
-0.000287
(YEARS^2)^2
5.22E-08
R-squared
0.083026
Adjusted R-squared
0.070407
S.E. of regression
0.067301
Sum squared resid
0.987427
Log likelihood
286.0972
Durbin-Watson stat
1.854283

Std. Error
t-Statistic
0.017445 -1.531420
0.003024
3.213069
0.000119 -2.407337
3.71E-08
1.405694
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

White Heteroskedasticity Test:

F-statistic
5.370347
Obs*R-squared
19.99682

Probability
Probability

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 10/27/02 Time: 17:32
Sample: 1 222
Included observations: 222
Variable
Coefficient
C
-0.001770
YEARS
0.000167
YEARS^2
0.000647
YEARS*(YEARS^2)
-3.26E-05
(YEARS^2)^2
4.22E-07
R-squared
0.090076
Adjusted R-squared
0.073303
S.E. of regression
0.067197
Sum squared resid
0.979836
Log likelihood
286.9539
Durbin-Watson stat
1.866959

Std. Error
t-Statistic
0.025953 -0.068207
0.007960
0.020995
0.000730
0.885913
2.52E-05 -1.296647
2.88E-07
1.467297
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
F-statistic
Prob(F-statistic)

0.000282
0.000358

Prob.
0.1271
0.0015
0.0169
0.1612
0.042255
0.069804
-2.541417
-2.480107
6.579470
0.000282

0.000384
0.000500

Prob.
0.9457
0.9833
0.3766
0.1961
0.1437
0.042255
0.069804
-2.540126
-2.463489
5.370347
0.000384