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di "heteroskedasticity.txt: Stata simulation example for heteroskedasticity"
version 7

* Example of heteroskedastic error 
* Y = a + bX + u, where a = 10, b = 2, u ~ N(0,X^2), X ~ N(3,1)
* The number of samples is determined by "set obs n" command below

drop _all

set seed 11111
set obs 200

gen x = 3 + invnorm(uniform())
gen u = x*invnorm(uniform())
gen y = 10 + 2*x + u

regress y x

regress y x, robust

predict yhat, xb
predict e, residuals

twoway (scatter y x, ms(0)) (line yhat x, sort) (scatter e x)

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