# demonstrate the effect of E(u|X) not equal to 0
set verbose off

# create an artificial dataset with 200 observations
nulldata 200
setobs 1 1 --special-time-series

# uniform() generates a uniformly distributed r.v.
series x = 20 * uniform()

K = 1000
hsrej = 0
acrej = 0

loop K
# error term will be correlated with x
series u = 0.2*x + normal()
series y = 10 + 1.5*x + u
ols y 0 x -q
modtest --white --silent
hsrej += $pvalue
modtest --autocorr --silent
acrej += $pvalue
endloop

printf "hsk test: mean p-value %g\n", hsrej/K
printf "autocorr test: mean p-value %g\n", acrej/K