help: lmadurm dialog:

Title

lmadurm: OLS Autocorrelation Dynamic Durbin m Test at Higher Order AR(p)

Table of Contents

Syntax

Description

Options

Saved Results

References

*** Examples

Authors

Syntax

lmadurm depvar indepvars [if] [in] , [ noconstant lags(#) coll ]

Description

lmadurm computes OLS Autocorrelation Dynamic Durbin m Test at Higher Order AR(p)

Ho: No Autocorrelation - Ha: Autocorrelation
- Durbin m Test (drop 1 obs)
- Durbin m Test (keep 1 obs)

R2, R2 Adjusted, and F-Test, are obtained from 4 ways:

1- (Buse 1973) R2.

2- Raw Moments R2.

3- squared correlation between predicted (Yh) and observed dependent variable (Y).

4- Ratio of variance between predicted (Yh) and observed dependent variable (Y).

- Adjusted R2: R2_a=1-(1-R2)*(N-1)/(N-K-1).

- F-Test=R2/(1-R2)*(N-K-1)/(K).

Options

lags(#) Order of Lag Length

noconstant Exclude Constant Term from Equation

coll keep collinear variables; default is removing collinear variables.

Saved Results

lmadurm saves the following in e():

e(rho#) Rho Value for AR(i)
e(lmadmd#) Durbin m Test (drop i obs) AR(i)
e(lmadmdp#) Durbin m Test (drop i obs) AR(i) P-Value
e(lmadmk#) Durbin m Test (keep i obs) AR(i)
e(lmadmkp#) Durbin m Test (keep i obs) AR(i) P-Value

References

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

Durbin, James (1970a)
"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.

Durbin, James (1970b)
"An Alternative to the Bounds Test for Testing for Serial Correlation in Least Square Regression",
Econometrica, Vol. 38, No. 2, May; 422-429.

Kmenta, Jan (1986)
"Elements of Econometrics",
2nd ed., Macmillan Publishing Company, Inc., New York, USA; 718.

Maddala, G. (1992)
"Introduction to Econometrics",
2nd ed., Macmillan Publishing Company, New York, USA.

Examples

clear all
sysuse lmadurm.dta , clear

db lmadurm

lmadurm y y1 x1 x2 , lags(1)
lmadurm y y1 x1 x2 , lags(2)
lmadurm y y1 x1 x2 , lags(3)

. clear all
. sysuse lmadurm.dta , clear
. lmadurm y y1 x1 x2 , lags(3)

==============================================================================
* Ordinary Least Squares (OLS)
==============================================================================
y = y1 + x1 + x2
------------------------------------------------------------------------------
Sample Size = 17
Wald Test = 284.1833 | P-Value > Chi2(3) = 0.0000
F-Test = 94.7278 | P-Value > F(3 , 13) = 0.0000
R2 (R-Squared) = 0.9563 | Raw Moments R2 = 0.9988
R2a (Adjusted R2) = 0.9462 | Raw Moments R2 Adj = 0.9985
Root MSE (Sigma) = 5.4707 | Log Likelihood Function = -50.7316
------------------------------------------------------------------------------
- R2h= 0.9563 R2h Adj= 0.9462 F-Test = 94.73 P-Value > F(3 , 13) 0.0000
- R2v= 0.9563 R2v Adj= 0.9462 F-Test = 94.73 P-Value > F(3 , 13) 0.0000
------------------------------------------------------------------------------
y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y1 | -.1781411 .1465164 -1.22 0.246 -.4946705 .1383883
x1 | 1.152898 .2727467 4.23 0.001 .5636643 1.742131
x2 | -1.626397 .2165011 -7.51 0.000 -2.094119 -1.158675
_cons | 163.0514 37.65046 4.33 0.001 81.71256 244.3903
------------------------------------------------------------------------------
==============================================================================
*** OLS Autocorrelation Durbin m Test
==============================================================================
Ho: No Autocorrelation - Ha: Autocorrelation
------------------------------------------------------------------------------
- Rho Value for Order(1) AR(1)= -0.0537
- Durbin m Test (drop 1 obs) AR(1)= 0.0933 P-Value >Chi2(1) 0.7600
- Durbin m Test (keep 1 obs) AR(1)= 0.0384 P-Value >Chi2(1) 0.8446
------------------------------------------------------------------------------
- Rho Value for Order(2) AR(2)= -0.1331
- Durbin m Test (drop 2 obs) AR(2)= 0.4313 P-Value >Chi2(2) 0.8060
- Durbin m Test (keep 2 obs) AR(2)= 0.1556 P-Value >Chi2(2) 0.9252
------------------------------------------------------------------------------
- Rho Value for Order(3) AR(3)= 0.0124
- Durbin m Test (drop 3 obs) AR(3)= 0.3925 P-Value >Chi2(3) 0.9418
- Durbin m Test (keep 3 obs) AR(3)= 8.7015 P-Value >Chi2(3) 0.0335
------------------------------------------------------------------------------

Authors

- Emad Abd Elmessih Shehata
Professor (PhD Economics)
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
Email: emadstat@hotmail.com
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 at IDEAS: http://ideas.repec.org/f/pmi520.html
WebPage at EconPapers: http://econpapers.repec.org/RAS/pmi520.htm

LMADURM Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2014)

LMADURM: "Stata Module to Compute OLS Autocorrelation Dynamic Durbin m 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
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* (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
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* (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
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* (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
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* (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
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* (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
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* (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
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* (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
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* (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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