proc iml;
 start glsmc;
 use hetdata;
 read all var{x} into x2;
 read all var{sig} into sig;
 n = nrow(x2);
 x1=j(n,1,1);
 x=x1||x2;
 k=ncol(x);
nsam=10000;
store=j(nsam,5,0);
e=j(n,1,0);
call randseed(1234567);
do iter =1 to nsam;
call randgen(e,'normal',0,1);
e=sig#e;
y=1+x2+e;
b=inv(x`*x)*x`*y;
ehat=y-x*b;
ehat2=ehat#2;
hce0=inv(x`*x)*(x`*diag(ehat2)*x)*inv(x`*x);
hce1=(n/(n-k))*hce0;
hat=vecdiag(x*inv(x`*x)*x`);
hce2=inv(x`*x)*(x`*diag(ehat2/(1-hat))*x)*inv(x`*x);
hce3=inv(x`*x)*(x`*diag(ehat2/(1-hat)##2)*x)*inv(x`*x);
store[iter,]=b[2]||hce0[2,2]||hce1[2,2]||hce2[2,2]||hce3[2,2];
end;
varnames={b2 hce0 hce1 hce2 hce3};
create glsest from store[colname=varnames];
append from store;
close glsest;
finish;