open data4-1
# original regression
ols price 0 sqft
# save the residuals as 'u'
genr u = $uhat
summary u
# is u correlated with X?
corr u sqft
# correlated with Y?
corr u price
# regress residual on X
ols u 0 sqft
# regress on both X and X^2
genr sqft2 = sqft^2
ols u 0 sqft sqft2
genr TR2 = $T*$rsq
pvalue X 1 TR2
# compare built-in LM test
ols price 0 sqft
lmtest --squares

# heteroskedasticity?
genr u2 = u^2
ols u2 0 sqft 
ols u2 0 sqft sqft2
# compare built-in
ols price 0 sqft --quiet
lmtest --white