[R] Help on Heteroskedastic diagram

[Al Leong]

Hi,

I am trying to create a diagram similar to Figures 4.4 (page 125) and 5.2 (page 159) in Stock and Watson2009) Introduction to Econometrics Brief Edition. The diagrams display the conditional probability distributions of y at different values of x along the regression line. 

I would be grateful if anyone could enlighten me on to create such a diagram in R.

Thanks in advance and have a nice weekend.

regards
Al