open gpa1.gdt
# plain OLS
m1 <- ols colGPA const hsGPA ACT skipped PC
# OLS with robust std errors
m2 <- ols colGPA const hsGPA ACT skipped PC --robust
# generate variable for White's regression
genr yhat1 = $yhat
genr usq1 = $uhat*$uhat
genr sqfit = yhat1*yhat1
# White, "special case"
ols usq1 const yhat1 sqfit
genr vuhat = $yhat*$yhat
# manually weighted least squares, 1
genr wi = 1/vuhat
m3 <- wls wi colGPA const hsGPA ACT skipped PC
# manually weighted least squares, 2
genr wi = 1/sqrt(vuhat)
m4 <- wls wi colGPA const hsGPA ACT skipped PC
# WLS without and with robust std errs
genr colGPAw = colGPA*wi
genr cw = const*wi
genr hsGPAw = hsGPA*wi
genr ACTw = ACT*wi
genr skipw = skipped*wi
genr PCw = PC*wi
m5 <- ols colGPAw cw hsGPAw ACTw skipw PCw
m6 <- ols colGPAw cw hsGPAw ACTw skipw PCw --robust
# for comparison, gretl's hsk correction
m7 <- hsk colGPA const hsGPA ACT skipped PC