clear
. set more off
. capt prog drop het
. drop _all
. prog het
1. quietly {
2. set obs `1' //`1’设置样本容量
3. gen x=uniform()
4. gen u1=invnorm(uniform()) //同方差情形
5. gen u2=x^2*invnorm(uniform()) //异方差的误差结构,u2i~N(0,xi
> 2)
6. gen u3=x*invnorm(uniform()) //异方差的误差结构,u2i~N(0,xi)
>
7. gen y1=1+5*x+u1
8. gen y2=1+5*x+u2
9. gen y3=1+5*x+u3
10. reg y1 x
11. imtest,white //异方差检验
12. scalar z1=r(p) //检验后的显著性P值保存到z1
13. reg y2 x
14. imtest,white
15. scalar z2=r(p)
16. reg y3 x
17. imtest,white
18. scalar z3=r(p)
19. }
20. end
. forv i=10(10)80{ //当样本量为10,20,….,70,80时的检验功效
2. simulate z1 z2 z3,rep(95) nodots:het `i'
3. mkmat _s*,mat(A) //将检验的显著性P值存入矩阵A
4. mat B = ( nullmat(B) , A) //将不同样本下的检验的显著性P值存 入矩阵B
5. }
command: het 10
_sim_1: z1
_sim_2: z2
_sim_3: z3
conformability error
r(503);
end of do-file
r(503);