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

? Lagrange multiplier test for homoskedasticity in the             =

? univariate probit model                                          =

?                                                                  =

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

?                                                                  =

?        NAMELIST         ; X = ... $                              =

?                                                                  =

? User must define the variables in the heteroskedasticity model   =

? Z must not contain ONE                                           =

?                                                                  =

?        NAMELIST         ; Z = ... $                              =

?                                                                  =

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

?                                                                  =

?        CREATE           ; Y = the dependent variable $           =

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

PROBIT     ; Lhs = y ; Rhs = X $

CREATE     ; qi=2 * y - 1 

           ; xb = dot(X,b)

           ; vi = -qi * lmm( qi * xb )

           ; vb = vi ; vg = -vi * xb$

MATRIX     ; gb = Xdot(X,one,vb)   

           ; gg = Xdot(Z,one,vg) 

           ; g  = gb / gg 

           ; h  = BHHH(X,Z,vb,vg)

           ; LMSTAT = g' | sinv(H) | g $