/usr/share/gretl/scripts/ps8-4.inp is in gretl-common 2016a-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | # PS8.4, for the White's test of Example 8.5
open data8-1
genr LNSALARY=ln(SALARY)
# generate squares and cross-products
genr YRS2 = YEARS*YEARS
genr YRS3 = YRS2*YEARS
genr YRS4 = YRS2*YRS2
# estimate log quadratic model
ols LNSALARY const YEARS YRS2
# save squared residuals
genr usq=$uhat*$uhat
# auxiliary regression
ols usq const YEARS YRS2 YRS3 YRS4
# compute LM test statistic and p-value
genr LM=$nrsq
pvalue X 4 LM
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