John Hopkins SS Statistics Worksheet

Problem Set 8

1) Using the data from SLEEP.DTA:

a) Run the regression, generate the residuals, and use them to test whether the variance of
the error terms is significantly different for men than for women (ie. regress squared
residuals against a female dummy only). Comment on results.

b) Perform the Breusch Pagan test for heteroskedasticity; comment on results.

c) Perform theSimplified White test; comment on results

d) Use Stata’s estat hettest; comment on results

e) Use the FGLS method to estimate the model; comment on results, compared to OLS.

f) Compare the standard errors in 4 models: OLS, OLS-Robust, FGLS, and FGLS-robust.
Which model do you prefer and why?

2) Computer Exercise C8.6