?===================================================================

? LM test for groupwise heteroskedasticity                         =

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? User must define the data matrix with the following line:        =

?                                                                  =

?        NAMELIST         ; X = ... $                              =

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? User's dependent variable is Y.  Change the following line       =

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?        CREATE           ; Y = the dependent variable $           =

?===================================================================

    SAMPLE; All $  (The pooled sample has N = TG observations.)

    CALC; s2 = ESS(X,y) / N ;  LMStat = 0 $

    CALC; T = N / G  ; First = 1 ; Last = T $

    PROCEDURE

          SAMPLE ; First - Last $

          CALC ; S2i = ESS(X,Y)/N

               ; LMStat = LMStat + (T / 2) * (s2i / s2  -  1)^2

               ; First = First + T ; Last = Last + T $

    ENDPROCEDURE

    EXECUTE; N = G $  (This says execute the procedure G times.)

    CALC   ; LMSTAT $