/* ==============================================================*/
/* The White Heteroscedasticity Consistent Estimator Program "white.txt                   */ 
/* With Ordinary Least Square (OLS) Program as a External Procedure                     */
/* Programmed by Hun Myoung Park, kucc625@indiana.edu, March, 2001               */
/* ==============================================================*/

#INCLUDE ols.txt;
#INCLUDE wgls.txt;
OUTPUT FILE=c:\temp\white.out;
OUTPUT RESET;
FORMAT/RD 10,5;
CLEAR ALL;

/* ======================== Data Entry ==========================*/
y={.161 .172 .158 .173 .195 .217 .199 .163 .195 .231 .257 .259 
   .225 .241 .204}; y=y';      

x={1.058 1.088 1.086 1.122 1.186 1.254 1.246 1.232 1.298 1.370 
   1.439 1.479 1.474 1.503 1.475, 4.40 5.15 5.37 4.99 4.16 5.75 
   8.82 9.31 5.21 5.83 7.40 8.64 9.31 9.44 5.99}; x=x';  

t=2.179;           /* 95% significant level with 12=n-k degree of freedom */

/* OLS Module ========================================*/
{anova, beta, b_se, cov, corr, r, b_ci, cipi}=ols(x, y, t);

n=ROWS(x); k=ROWS(beta);

I=1; PRINT;
PRINT "================= OLS Outcome ================== ";
PRINT "       Beta                Std error         T  for H0         Prob>|T|";
DO WHILE i <= k;
    PRINT beta[i] b_se[i] b_ci[i, 1] b_ci[i,2];
    i=i+1;
ENDO;
PRINT; PRINT "Covariance" cov;

/* White's GLS Module ==================================*/
{w_cov, w_se}=wgls(x, beta, r);

i=1; PRINT;
PRINT "================= GLS Outcome ================== ";
PRINT "       Beta                Std error         T  for H0         Prob>|T|";
DO WHILE i <= k;
    PRINT beta[i] w_se[i, 1] w_se[i, 2] w_se[i, 3];
    i=i+1;
ENDO; 

PRINT; PRINT "Covariance" w_cov;

OUTPUT OFF;