* Use Crime1.dta generate arr86 = (narr86>0) regress arr86 pcnv avgsen tottime ptime86 qemp86 predict arr86hat summarize arr86hat * The weight for each observation using WLS is 1/sqrt[arr86hat*(1 - arr86hat)] generate weight = 1/[arr86hat*(1 - arr86hat)]^0.5 generate arr86star = arr86*weight generate onestar = 1*weight generate pcnvstar = pcnv*weight generate avgsenstar = avgsen*weight generate tottimestar = tottime*weight generate ptime86star = ptime86*weight generate qemp86star = qemp86*weight * WLS estimation of the LPM regress arr86star onestar pcnvstar avgsenstar tottimestar ptime86star qemp86star, noconstant test avgsen tottime