-------------------------------------------------------------------------------
help: lmadurh                                                        dialog: lm
> adurh
-------------------------------------------------------------------------------


        +-------+
    ----+ Title +------------------------------------------------------------

 lmadurh: Dynamic Autocorrelation Tests after (OLS-ALS) Regressions


        +--------+
    ----+ Syntax +-----------------------------------------------------------

          lmadurh depvar indepvars [if] [in] [weight] , [ dlag(numlist)
                noconstant vce(vcetype) ]
 

        +---------+
    ----+ Options +----------------------------------------------------------

      dlag(#)             determine location of lagged dependent variable
                            among RHS regressors; default is 1.

      noconstant          suppress constant term

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


        +-------------+
    ----+ Description +------------------------------------------------------

  lmadurh computes dynamic autocorrelation tests after (OLS-ALS) Regression,
  via Durbin h, Harvey LM, and Wald LM Tests for residuals after regress
  command.
 
  lmadurh detects autocorrelation after correction the residuals from first
  order AR(1) autocorrelation, via Autoregressive Least Squares (ALS), i.e., 
  prais.

  Durbin h Test can not be computed, if the square root has negative value.

     **************************************************************
     *   h  > 1.96  (Autocorrelation)                             *
     *   h  < 1.96  (No Autocorrelation)                          *
     *          h(+3) > +1.96    Positive Autocorrelation         *
     *          h(-3) < -1.96    Negative Autocorrelation         *
     *  -1.96 < h(+1) < +1.96    No       Autocorrelation         *
     **************************************************************


        +---------------+
    ----+ Saved Results +----------------------------------------------------

    lmadurh saves the following in e():

    Scalars
      e(durho)    Durbin h Test after (OLS) (Lag DepVar)
      e(durhop)   Durbin h Test after (OLS) (Lag DepVar) P-Value
      e(hrvho)    Harvey LM Test after (OLS) (Lag DepVar)
      e(hrvhop)   Harvey LM Test after (OLS) (Lag DepVar) P-Value
      e(waldt)    Wald T Test
      e(waldtp)   Wald T Test P-Value
      e(waldchi)  Wald Chi2 Test
      e(waldchip) Wald Chi2 Test P-Value
      e(durha)    Durbin h Test after ALS(1) (Lag DepVar)
      e(durhap)   Durbin h Test after ALS(1) (Lag DepVar) P-Value
      e(hrvha)    Harvey LM Test after ALS(1) (Lag DepVar)
      e(hrvhap)   Harvey LM Test after ALS(1) (Lag DepVar) P-Value


        +----------+
    ----+ Examples +---------------------------------------------------------

        clear all

        db lmadurh

        sysuse lmadurh.dta, clear

        lmadurh y y1 x1 x2, dlag(1)

        lmadurh y x1 x2 y1, dlag(3)

        ereturn list


   ============================================================
   * Dynamic Autocorrelation Tests after (OLS-ALS) Regression *
   ============================================================
   Ho: No Autocorrelation - Ha: Autocorrelation

   ----------------------------------------------------------------------
   * Durbin  h Test                AR(1) =    -0.351     P>Z       0.3628
   * Harvey LM Test                AR(1) =     0.123     P>Chi2(1) 0.7256
   ----------------------------------------------------------------------
   * Wald    T Test                AR(1) =    -0.280     P>Z       0.3896
   * Wald Chi2 Test                AR(1) =     0.079     P>Z       0.7792
   ----------------------------------------------------------------------
   * Durbin  h Test after ALS(1)   AR(1) =    -1.260     P>Z       0.1038
   * Harvey LM Test after ALS(1)   AR(1) =     1.588     P>Chi2(1) 0.2077
   ----------------------------------------------------------------------


        +------------+
    ----+ References +-------------------------------------------------------

    Durbin, James (1970) "Testing for Serial Correlation in Least-Squares
        Regression When Some of the Regressors are Lagged Dependent
        Variables", Econometrica, vol.38, no.3, May; 410-421.

    Harvey, Andrew (1990) "The Econometric Analysis of Time Series", 2nd
        edition, MIT Press, Cambridge, Massachusetts; 275-277.

    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; 401.


        +--------+
    ----+ Author +-----------------------------------------------------------

  Emad Abd Elmessih Shehata
  Assistant Professor
  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


        +------------------+
    ----+ lmadurh Citation +-------------------------------------------------

    Shehata, Emad Abd Elmessih (2011)
    "lmadurh: Stata Module to Compute Dynamic Durbin h, Harvey LM, and Wald
        LM Autocorrelation Tests after (OLS-ALS) Regressions"

        http://ideas.repec.org/c/boc/bocode/s457346.html

        http://econpapers.repec.org/software/bocbocode/s457346.htm


Also see

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