+-------+ ----+ Title +------------------------------------------------------------
lmabgnl: NLS Autocorrelation Breusch-Godfrey Test at Higher Order AR(p)
+-------------------+ ----+ Table of Contents +------------------------------------------------
Syntax Options Description Saved Results References
*** Examples
Authors
+--------+ ----+ Syntax +-----------------------------------------------------------
lmabgnl depvar [if] [in] [weight] , fun(expression) lags(#) [ initial(init_val) variables(varlist) vce(vcetype ]
+---------+ ----+ Options +----------------------------------------------------------
lags(#) Lag Length Order
depvar Dependent Variable
variables(varlist) Independent Variables in model
initial(init_val) Parameters (initial) Starting Values
fun(expression) RHS Mathematical Expression
SE/Robust vce(vcetype) vcetype may be gnr, robust, cluster clustvar, bootstrap, jackknife, hac kernel, hc2, or hc3
+-------------+ ----+ Description +------------------------------------------------------
lmabgnl computes NLS Autocorrelation Breusch-Godfrey Test at Higher Order AR(p).
Ho: No Autocorrelation - Ha: Autocorrelation - Rho Value for - Breusch-Godfrey LM Test (drop 1 obs) - Breusch-Godfrey LM Test (keep 1 obs)
+---------------+ ----+ Saved Results +----------------------------------------------------
lmabgnl saves the following in e():
e(rho#) Rho Value for AR(i)
e(lmabgd#) Breusch-Godfrey LM Test (drop i obs) e(lmabgdp#) Breusch-Godfrey LM Test (drop i obs) P-Value
e(lmabgk#) Breusch-Godfrey LM Test (keep i obs) e(lmabgkp#) Breusch-Godfrey LM Test (keep i obs) P-Value
+------------+ ----+ References +-------------------------------------------------------
Breusch, Trevor (1978) "Testing for Autocorrelation in Dynamic Linear Models", Aust. Econ. Papers, Vol. 17; 334-355.
Breusch, Trevor & Adrian Pagan (1980) "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics", Review of Economic Studies 47; 239-253.
Damodar Gujarati (1995) "Basic Econometrics" 3rd Edition, McGraw Hill, New York, USA.
Godfrey, L. (1978) "Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables", Econometrica, Vol., 46; 1303-1310.
Greene, William (1993) "Econometric Analysis", 2nd ed., Macmillan Publishing Company Inc., New York, USA; 616-618.
Greene, William (2007) "Econometric Analysis", 6th ed., Upper Saddle River, NJ: Prentice-Hall; 387-388.
Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988) "Introduction To The Theory And Practice Of Econometrics", 2nd ed., John Wiley & Sons, Inc., New York, USA.
Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985) "The Theory and Practice of Econometrics", 2nd ed., John Wiley & Sons, Inc., New York, USA; 615.
Kmenta, Jan (1986) "Elements of Econometrics", 2nd ed., Macmillan Publishing Company, Inc., New York, USA; 718.
William E. Griffiths, R. Carter Hill and George G. Judge (1993) "Learning and Practicing Econometrics", John Wiley & Sons, Inc., New York, USA; 721-725.
+----------+ ----+ Examples +---------------------------------------------------------
clear all
sysuse lmabgnl.dta , clear
gen ly=ln(y)
lmabgnl ly , fun({B0}+{B1}*k+{B2}*l)
lmabgnl ly, fun({B}-({H}/{R})*ln({D}*l^(-{R})+(1-{D})*k^(-{R}))) in(B 1 H 1 R 1 > D 0.5) lag(4) -------------------------------------------------------------------------------
. clear all . sysuse lmabgnl.dta , clear . gen ly=ln(y) . lmabgnl ly, fun({B}-({H}/{R})*ln({D}*l^(-{R})+(1-{D})*k^(-{R}))) in(B 1 H 1 R > 1 D 0.5) lag(4)
Source | SS df MS -------------+------------------------------ Number of obs = 30 Model | 59.529144 3 19.843048 R-squared = 0.9713 Residual | 1.7610762 26 .0677337 Adj R-squared = 0.9680 -------------+------------------------------ Root MSE = .260257 Total | 61.2902202 29 2.11345587 Res. dev. = .0781436
------------------------------------------------------------------------------ ly | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- /B | .1244908 .0783444 1.59 0.124 -.0365483 .28553 /H | 1.012594 .0506832 19.98 0.000 .9084134 1.116775 /R | 3.010934 2.323389 1.30 0.206 -1.764861 7.786728 /D | .3366735 .1361129 2.47 0.020 .0568895 .6164575 ------------------------------------------------------------------------------ Parameter B taken as constant term in model & ANOVA table
============================================================================== *** NLS Autocorrelation Breusch-Godfrey Test ============================================================================== Ho: No Autocorrelation - Ha: Autocorrelation ------------------------------------------------------------------------------ - Rho Value for Order(1) AR(1)= 0.0271 - Breusch-Godfrey LM Test (drop 1 obs) AR(1)= 1.4763 P-Value >Chi2(1) 0.2244 - Breusch-Godfrey LM Test (keep 1 obs) AR(1)= 1.2240 P-Value >Chi2(1) 0.2686 ------------------------------------------------------------------------------ - Rho Value for Order(2) AR(2)= 0.0098 - Breusch-Godfrey LM Test (drop 2 obs) AR(2)= 0.2744 P-Value >Chi2(2) 0.8718 - Breusch-Godfrey LM Test (keep 2 obs) AR(2)= 1.4656 P-Value >Chi2(2) 0.4806 ------------------------------------------------------------------------------ - Rho Value for Order(3) AR(3)= -0.0134 - Breusch-Godfrey LM Test (drop 3 obs) AR(3)= 0.3776 P-Value >Chi2(3) 0.9448 - Breusch-Godfrey LM Test (keep 3 obs) AR(3)= 1.4688 P-Value >Chi2(3) 0.6895 ------------------------------------------------------------------------------ - Rho Value for Order(4) AR(4)= -0.3725 - Breusch-Godfrey LM Test (drop 4 obs) AR(4)= 5.8565 P-Value >Chi2(4) 0.2101 - Breusch-Godfrey LM Test (keep 4 obs) AR(4)= 6.6518 P-Value >Chi2(4) 0.1555 ------------------------------------------------------------------------------
+---------+ ----+ Authors +----------------------------------------------------------
- Emad Abd Elmessih Shehata Professor (PhD Economics) Agricultural Research Center - Agricultural Economics Research Institute - Eg > ypt Email: emadstat@hotmail.com WebPage: http://emadstat.110mb.com/stata.htm WebPage at IDEAS: http://ideas.repec.org/f/psh494.html WebPage at EconPapers: http://econpapers.repec.org/RAS/psh494.htm
- Sahra Khaleel A. Mickaiel Professor (PhD Economics) Cairo University - Faculty of Agriculture - Department of Economics - Egypt Email: sahra_atta@hotmail.com WebPage: http://sahraecon.110mb.com/stata.htm WebPage at IDEAS: http://ideas.repec.org/f/pmi520.html WebPage at EconPapers: http://econpapers.repec.org/RAS/pmi520.htm
+------------------+ ----+ LMABGNL Citation +-------------------------------------------------
Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2012) LMABGNL: "NLS Autocorrelation Breusch-Godfrey Test at Higher Order AR(p)"
Online Help:
* Autocorrelation Tests:
* (1) (OLS) * Ordinary Least Squares Tests: lmareg OLS Autocorrelation Tests lmabp OLS Autocorrelation Box-Pierce Test lmabg OLS Autocorrelation Breusch-Godfrey Test lmabpg OLS Autocorrelation Breusch-Pagan-Godfrey Test lmadurh OLS Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests lmadurm OLS Autocorrelation Dynamic Durbin m Test lmadw OLS Autocorrelation Durbin-Watson Test lmalb OLS Autocorrelation Ljung-Box Test lmavon OLS Autocorrelation Von Neumann Ratio Test lmaz OLS Autocorrelation Z Test --------------------------------------------------------------------------- * (2) (NLS) * Non Linear Least Squares Tests: lmanls Non Linear Least Squares Autocorrelation Tests lmabpnl NLS Autocorrelation Box-Pierce Test lmabgnl NLS Autocorrelation Breusch-Godfrey Test lmabpgnl NLS Autocorrelation Breusch-Pagan-Godfrey Test lmadurmnl NLS Autocorrelation Dynamic Durbin m Test lmadwnl NLS Autocorrelation Durbin-Watson Test lmalbnl NLS Autocorrelation Ljung-Box Test lmavonnl NLS Autocorrelation Von Neumann Ratio Test lmaznl NLS Autocorrelation Z Test --------------------------------------------------------------------------- * (3) (MLE) * Maximum Likelihood Estimation Tests: lmamle MLE Autocorrelation Tests lmabpml MLE Autocorrelation Box-Pierce Test lmabgml MLE Autocorrelation Breusch-Godfrey Test lmabpgml MLE Autocorrelation Breusch-Pagan-Godfrey Test lmadurhml MLE Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests lmadurmml MLE Autocorrelation Dynamic Durbin m Test lmadwml MLE Autocorrelation Durbin-Watson Test lmalbml MLE Autocorrelation Ljung-Box Test lmavonml MLE Autocorrelation Von Neumann Ratio Test lmazml MLE Autocorrelation Z Test --------------------------------------------------------------------------- * (4) (2SLS-IV) * Two-Stage Least Squares & Instrumental Variables Tests: lmareg2 2SLS-IV Autocorrelation Tests lmabg2 2SLS-IV Autocorrelation Breusch-Godfrey Test lmabp2 2SLS-IV Autocorrelation Box-Pierce Test lmabpg2 2SLS-IV Autocorrelation Breusch-Pagan-Godfrey Test lmadurh2 2SLS-IV Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests lmadurm2 2SLS-IV Autocorrelation Dynamic Durbin m Test lmadw2 2SLS-IV Autocorrelation Durbin-Watson Test lmalb2 2SLS-IV Autocorrelation Ljung-Box Test lmavon2 2SLS-IV Von Neumann Ratio Autocorrelation Test lmaz2 2SLS-IV Autocorrelation Z Test --------------------------------------------------------------------------- * (5) Panel Data Tests: lmaxt Panel Data Autocorrelation Tests lmabxt Panel Data Autocorrelation Baltagi Test lmabgxt Panel Data Autocorrelation Breusch-Godfrey Test lmabpxt Panel Data Autocorrelation Box-Pierce Test lmabpgxt Panel Data Autocorrelation Breusch-Pagan-Godfrey Test lmadurhxt Panel Data Autocorrelation Dynamic Durbin h and Harvey LM Tests lmadurmxt Panel Data Autocorrelation Dynamic Durbin m Test lmadwxt Panel Data Autocorrelation Durbin-Watson Test lmavonxt Panel Data Von Neumann Ratio Autocorrelation Test lmawxt Panel Data Autocorrelation Wooldridge Test lmazxt Panel Data Autocorrelation Z Test --------------------------------------------------------------------------- * (6) (3SLS-SUR) * Simultaneous Equations Tests: lmareg3 (3SLS-SUR) Overall System Autocorrelation Tests lmhreg3 (3SLS-SUR) Overall System Heteroscedasticity Tests lmnreg3 (3SLS-SUR) Overall System Non Normality Tests lmcovreg3 (3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix r2reg3 (3SLS-SUR) Overall System R2, F-Test, and Chi2-Test diagreg3 (3SLS-SUR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- * (7) (SEM-FIML) * Structural Equation Modeling Tests: lmasem (SEM-FIML) Overall System Autocorrelation Tests lmhsem (SEM-FIML) Overall System Heteroscedasticity Tests lmnsem (SEM-FIML) Overall System Non Normality Tests lmcovsem (SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test r2sem (SEM-FIML) Overall System R2, F-Test, and Chi2-Test diagsem (SEM-FIML) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- * (8) (NL-SUR) * Non Linear Seemingly Unrelated Regression Tests: lmanlsur (NL-SUR) Overall System Autocorrelation Tests lmhnlsur (NL-SUR) Overall System Heteroscedasticity Tests lmnnlsur (NL-SUR) Overall System Non Normality Tests lmcovnlsur (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test r2nlsur (NL-SUR) Overall System R2, F-Test, and Chi2-Test diagnlsur (NL-SUR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- * (9) (VAR) * Vector Autoregressive Model Tests: lmavar (VAR) Overall System Autocorrelation Tests lmhvar (VAR) Overall System Heteroscedasticity Tests lmnvar (VAR) Overall System Non Normality Tests lmcovvar (VAR) Breusch-Pagan Diagonal Covariance Matrix Test r2var (VAR) Overall System R2, F-Test, and Chi2-Test diagvar (VAR) Overall System ModeL Selection Diagnostic Criteria 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