For the empirical example in section 5.5 based on the Cigarette Consumption Data in Table 3.2.

(a) Replicate the OLS regression of logC on logP, logY and a constant. Plot the residuals versus logY and verify Figure 3.2.

(b) Run Glejser’s (1969) test by regressing |ei| the absolute value of the residuals from part (a), on (logYi)δ for δ = 1,−1,−0.5 and 0.5. Verify the t-statistics reported in the text.

(c) Run Goldfeld and Quandt’s (1965) test by ordering the observations according to logYi and omitting 12 central observations. Report the two regressions based on the first and last 17 observations and verify the F-test reported in the text.

(d) Verify the Spearman rank correlation test based on the rank (logYi) and rank |ei|.

(e) Verify Harvey’s (1976) multiplicative heteroskedasticity test based on regressing loge2i on log(logYi).

(f) Run the Breusch and Pagan (1979) test based on the regression of e2i /σ2 on logYi, where σ2 = 46 i=1 e2i /46.
(g) Run White’s (1980) test for heteroskedasticity.
(h) Run the Jarque and Bera (1987) test for normality of the disturbances.
(i) Compute White’s (1980) heteroskedasticity robust standard errors for the regression in part (a).