help: lmabp dialog:

Title

lmabp: Box-Pierce Autocorrelation LM Test at Higher Order AR(p)

Syntax

lmabp depvar indepvars [if] [in] [weight] , [ lags(numlist) noconstant vce(vcetype) ]

Options

lags(#) determine Order of Lag Length; default is lag(1).

noconstant suppress constant term

SE/Robust
vce(vcetype) vcetype may be ols,
robust, cluster clustvar, bootstrap,
jackknife, hc2, or hc3

Description

lmabp computes Box-Pierce Autocorrelation LM Test after regress command.

lmabp detects autocorrelation at Higher Order AR(p), more than AR(1).

J
Box-Pierce LM test = N [ Sum(Rho_i) ] ~ Chi2(J)
i=1
where
N = Number of Observations.
J = Order of Lag Length.
Rho_i = Autoregressive Coefficient of Lag i.

Saved Results

lmadurh saves the following in r():

Scalars

r(rho_#) Rho Value at Order AR(i)

r(bp_#) Box-Pierce Autocorrelation LM Test at Order AR(i)

r(bpp_#) Box-Pierce Autocorrelation LM Test P-Value at Order AR(i)

Examples

clear all

db lmabp

sysuse lmabp.dta , clear

lmabp y x1 x2 , lags(1)

lmabp y x1 x2 , lags(4)

return list

===================================================
* Box-Pierce Autocorrelation LM Test *
===================================================
Ho: No Autocorrelation - Ha: Autocorrelation
------------------------------------------------------------
* Rho Value for AR(1) = -0.1455
* Box-Pierce LM Test AR(1) = 0.3598 P>Chi2(1) 0.5486
------------------------------------------------------------
* Rho Value for AR(2) = -0.2231
* Box-Pierce LM Test AR(2) = 1.2062 P>Chi2(2) 0.5471
------------------------------------------------------------
* Rho Value for AR(3) = 0.1871
* Box-Pierce LM Test AR(3) = 1.8016 P>Chi2(3) 0.6146
------------------------------------------------------------
* Rho Value for AR(4) = -0.3002
* Box-Pierce LM Test AR(4) = 3.3334 P>Chi2(4) 0.5037
------------------------------------------------------------

References

Damodar Gujarati (1995)
"Basic Econometrics"
3rd Edition, McGraw Hill, New York, USA; 717.

Box, George & Pierce D. (1970)
"Distribution of Residual Autocorrelations in Autoregressive Integrated Moving Average Time Series Models",
J. Am. Stat. Assoc., Vol. 65; 1509-1526.

Author

Emad Abd Elmessih Shehata
Assistant Professor
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
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

lmabp Citation

Shehata, Emad Abd Elmessih (2011)

"lmabp: Stata Module to Compute Box-Pierce Autocorrelation LM Test at Higher Order AR(p) after OLS Regression"

Also see

Online: lmareg3, lmadurh, lmalb, lmabp, lmadw, lmavon (if installed).