DEFINE hc3reg (dv =!charend('/')/iv =!charend ('/')).
SET MXLOOP = 100000000.
MATRIX.
GET x/file = */variables = !dv !iv/names = dv/missing = omit.
compute y=x(:,1).
compute x=x(:,2:ncol(x)).
compute pr = ncol(x).
compute n = nrow(x).
compute iv = t({"Constant", dv(1,2:ncol(dv))}).
compute con = make(n,1,1).
compute x={con,x}.
compute dv=dv(1,1).
compute b = inv(t(x)*x)*t(x)*y).
compute k = nrow(b).
compute invXtX = inv(t(x)*x).
compute h = x(:,1).
loop i=1 to n.
  compute h(i,1)= x(i,:)*invXtX*t(x(i,:)).
end loop.
compute resid = (y-(x*b)).
compute pred = x*b.
loop i=1 to k.
compute x(:,i) = (resid&/(1-h))&*x(:,i).
end loop.
compute hc = invXtX*t(x)*x*invXtX.
print dv/title = "Criterion Variable"/format A8.
compute sebhc = sqrt(diag(hc)).
compute te = b&/sebhc.
compute p = 2*(1-tcdf(abs(te), n-nrow(b))).
compute oput = {b,sebhc, te, p}.
print oput/title = 'HC3 Heteroscedasticity-Consistent Regression Results'/clabels = "B(OLS)" "SE(HC3)" "t" "P>|t|"/rnames = iv/format f10.4.
END MATRIX.
!END DEFINE.