* Glesjer's test
* 三种可能的异方差形式:
* (a) Var[ei] = sigma^2*[b0 + b1*z1 + b2*z2 + ...] var(ei)用残差平方和代替,sigma^2用残差的均值代替
* (b) Var[ei] = sigma^2*[b0 + b1*z1 + b2*z2 + ...]^2
* (c) Var[ei] = sigma^2*exp[b0 + b1*z1 + b2*z2 + ...]
sysuse auto, clear
qui reg price mpg weight turn
predict ei , res
gen ei2 = ei^2
qui sum ei2
gen e2 = ei2/r(mean)
gen abs_ei = sqrt(e2)
gen ln_ei = ln(e2)
local Z "foreign gear trunk"
local k = 3 + 1
local n = e(N)
* (a) reg e2 on foreign gear trunk
qui reg e2 `Z'
dis "F = " e(F) " p_value = " Ftail(`= `k'-1', `=`n'-`k'' , `e(F)')
* (b) reg abs_ei on foreign gear trunk
qui reg abs_ei `Z'
dis "F = " e(F) " p_value = " Ftail(`= `k'-1', `=`n'-`k'' , `e(F)')
* (c) reg ln_ei on foreign gear trunk
reg ln_ei `Z'
dis "F = " e(F) " p_value = " Ftail(`= `k'-1', `=`n'-`k'' , `e(F)')
问题是:残差的均值为什么这样求?r(mean)是什么意思?reg命令返回值没有这个东西啊