Allin, I have been building some examples about heteroskedasticity data with gretl. I had two variables whose linear relationship had hetero. and so I regressed y on x using 1/sqrt(x) as weigths. Then, I suspected that the residuals were heteroskedastic yet, so I tried to do some testing on them. Firstly, I cannot do a LM test on the WLS regression (¿Why not? umm I have to think a while about it ... I know that the regressor now is xt*wt, and so the test may have a different interpretation, but ... may have any sense in this case, ¿or not?). Secondly, as I did not have the test, I saved the WLS residuals an regressed them over a constant (by OLS), so I had a window model, and the heteroskedasticity test was active in the corresponding menu. I selected this and ... gretl exited!!, and saving anything. In fact I have seen that regressing any variable over a constant, the same occurs. I understand that the Hetero. test runs a regression of the residuals over the regressors and their squares, and so in this case there were no regressors, but I think Gretl should act in another form. For example in this case gretl may ask for a variable, or use the index ...
-- Ignacio Díaz-Emparanza Dpto. de Economía Aplicada III (Econometría y Estadística) UPV-EHU http://www.bl.ehu.es/~etpdihei/
