用eviews啊，傻瓜软件 直接有的

clear
cd "G:\econometrics\teach\hetero"              /*your data path*/
capture log close

log using "result\heterskedasicity.log", replace


*1) Open your data file  
use "data\hprice1.dta", clear


*2) Regress housing price on house size, and test for heterskedasicity
reg price lotsize sqrft bdrms
whitetst   /*You can also try "whitetst, fitted" for e=d+d1yhat+d2yhat^2+v */
bpagan   lotsize sqrft bdrms


*3) Regress Log(housing price) on Log(house size), and test for heterskedasicity

reg lprice llotsize lsqrft bdrms
whitetst   /*You can also try "whitetst, fitted" for e=d+d1yhat+d2yhat^2+v */
bpagan   llotsize lsqrft bdrms


*4) OLS, with robust sd
reg price lotsize sqrft bdrms, robust


*5)GLS/WLS
bpagan   llotsize  
reg price lotsize sqrft bdrms  [aw = 1/lotsize]


*5)FGLS
reg price lotsize sqrft bdrms                  /*First, doing OLS, and
                                                we know from 2, this model has heterskedasicity*/
predict e, residual                          /*get the residual */
gen ln_e2=log(e*e)                        /*generate log of the square of residual */       
reg ln_e2 lotsize sqrft bdrms       /*reg residual square on all Xs */
predict ghat, xb                                 /*get predicted value for ln_e2*/
gen se=exp(ghat)                                /*get hhat */
reg price lotsize sqrft bdrms  [aw = 1/se]   /*WLS, using the estimated variance as weight*/


log close