help: lmadurh dialog:

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 - 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

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).