{smcl} {hline} {cmd:help: {helpb lmadwnl}}{space 50} {cmd:dialog:} {bf:{dialog lmadwnl}} {hline} {bf:{err:{dlgtab:Title}}} {bf:lmadwnl: NLS Autocorrelation Durbin-Watson Test at Higher Order AR(p)} {marker 00}{bf:{err:{dlgtab:Table of Contents}}} {p 4 8 2} {p 5}{helpb lmadwnl##01:Syntax}{p_end} {p 5}{helpb lmadwnl##02:Options}{p_end} {p 5}{helpb lmadwnl##03:Description}{p_end} {p 5}{helpb lmadwnl##04:Saved Results}{p_end} {p 5}{helpb lmadwnl##05:References}{p_end} {p 1}*** {helpb lmadwnl##06:Examples}{p_end} {p 5}{helpb lmadwnl##07:Authors}{p_end} {marker 01}{bf:{err:{dlgtab:Syntax}}} {p 3 5 6} {cmd:lmadwnl} {depvar} {ifin} {weight} , {opt fun(expression)} {opt lag:s(#)}{p_end} {p 5 5 6} {err: [} {opt in:itial(init_val)} {opth var:iables(varlist)} {cmd:vce(}{it:{help nl##vcetype:vcetype}} {err:]}{p_end} {marker 02}{bf:{err:{dlgtab:Options}}} {synoptset 16}{...} {col 3}{bf:lags({err:{it:#}})}{col 24}Lag Length Order {col 3}{opt depvar}{col 24}Dependent Variable {col 3}{opth var:iables(varlist)}{col 24}Independent Variables in model {col 3}{opt in:itial(init_val)}{col 24}Parameters (initial) Starting Values {col 3}{opt fun(expression)}{col 24}RHS Mathematical Expression {syntab :SE/Robust} {synopt :{cmd:vce(}{it:{help nl##vcetype:vcetype}}{cmd:)}}{it:vcetype} may be {opt gnr}, {opt r:obust}, {opt cl:uster} {it:clustvar}, {opt boot:strap}, {opt jack:knife}, {opt hac} {it:kernel}, {opt hc2}, or {opt hc3} {p_end} {marker 03}{bf:{err:{dlgtab:Description}}} {pstd} {cmd:lmadwnl} computes NLS Autocorrelation Durbin-Watson Test at Higher Order AR(p). Ho: No Autocorrelation - Ha: Autocorrelation - Rho Value for - Durbin-Watson Test {marker 04}{bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:lmadwnl} saves the following in {cmd:e()}: {col 4}{cmd:e(rho#)}{col 20}Rho Value for AR(i) {col 4}{cmd:e(lmadw#)}{col 20}Durbin-Watson Test AR(i) {marker 05}{bf:{err:{dlgtab:References}}} {p 4 8 2}Damodar Gujarati (1995) {cmd: "Basic Econometrics"} {it:3rd Edition, McGraw Hill, New York, USA}. {p 4 8 2}Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988) {cmd: "Introduction To The Theory And Practice Of Econometrics",} {it:2nd ed., John Wiley & Sons, Inc., New York, USA}. {p 4 8 2}William E. Griffiths, R. Carter Hill and George G. Judge (1993) {cmd: "Learning and Practicing Econometrics",} {it:John Wiley & Sons, Inc., New York, USA}; 721-725. {marker 06}{bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse lmadwnl.dta , clear} {stata gen ly=ln(y)} {stata "lmadwnl ly , fun({B0}+{B1}*k+{B2}*l)"} {stata "lmadwnl 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)"} {hline} . clear all . sysuse lmadwnl.dta , clear . gen ly=ln(y) . lmadwnl 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 Durbin-Watson Test ============================================================================== Ho: No Autocorrelation - Ha: Autocorrelation ------------------------------------------------------------------------------ - Rho Value for Order(1) AR(1)= 0.0271 - Durbin-Watson Test AR(1)= 1.8773 df: (4 , 30) ------------------------------------------------------------------------------ - Rho Value for Order(2) AR(2)= 0.0098 - Durbin-Watson Test AR(2)= 1.7860 df: (4 , 30) ------------------------------------------------------------------------------ - Rho Value for Order(3) AR(3)= -0.0134 - Durbin-Watson Test AR(3)= 1.7747 df: (4 , 30) ------------------------------------------------------------------------------ - Rho Value for Order(4) AR(4)= -0.3725 - Durbin-Watson Test AR(4)= 2.4202 df: (4 , 30) ------------------------------------------------------------------------------ {marker 07}{bf:{err:{dlgtab:Authors}}} - {hi:Emad Abd Elmessih Shehata} {hi:Professor (PhD Economics)} {hi:Agricultural Research Center - Agricultural Economics Research Institute - Egypt} {hi:Email: {browse "mailto:emadstat@hotmail.com":emadstat@hotmail.com}} {hi:WebPage:{col 27}{browse "http://emadstat.110mb.com/stata.htm"}} {hi:WebPage at IDEAS:{col 27}{browse "http://ideas.repec.org/f/psh494.html"}} {hi:WebPage at EconPapers:{col 27}{browse "http://econpapers.repec.org/RAS/psh494.htm"}} - {hi:Sahra Khaleel A. Mickaiel} {hi:Professor (PhD Economics)} {hi:Cairo University - Faculty of Agriculture - Department of Economics - Egypt} {hi:Email: {browse "mailto:sahra_atta@hotmail.com":sahra_atta@hotmail.com}} {hi:WebPage:{col 27}{browse "http://sahraecon.110mb.com/stata.htm"}} {hi:WebPage at IDEAS:{col 27}{browse "http://ideas.repec.org/f/pmi520.html"}} {hi:WebPage at EconPapers:{col 27}{browse "http://econpapers.repec.org/RAS/pmi520.htm"}} {bf:{err:{dlgtab:LMADWNL Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2012)}{p_end} {p 1 10 1}{cmd:LMADWNL: "NLS Autocorrelation Durbin-Watson Test at Higher Order AR(p)"}{p_end} {title:Online Help:} {bf:{err:* Autocorrelation Tests:}} {bf:{err:* (1) (OLS) * Ordinary Least Squares Tests:}} {helpb lmareg}{col 12}OLS Autocorrelation Tests {helpb lmabp}{col 12}OLS Autocorrelation Box-Pierce Test {helpb lmabg}{col 12}OLS Autocorrelation Breusch-Godfrey Test {helpb lmabpg}{col 12}OLS Autocorrelation Breusch-Pagan-Godfrey Test {helpb lmadurh}{col 12}OLS Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests {helpb lmadurm}{col 12}OLS Autocorrelation Dynamic Durbin m Test {helpb lmadw}{col 12}OLS Autocorrelation Durbin-Watson Test {helpb lmalb}{col 12}OLS Autocorrelation Ljung-Box Test {helpb lmavon}{col 12}OLS Autocorrelation Von Neumann Ratio Test {helpb lmaz}{col 12}OLS Autocorrelation Z Test --------------------------------------------------------------------------- {bf:{err:* (2) (NLS) * Non Linear Least Squares Tests:}} {helpb lmanls}{col 12}Non Linear Least Squares Autocorrelation Tests {helpb lmabpnl}{col 12}NLS Autocorrelation Box-Pierce Test {helpb lmabgnl}{col 12}NLS Autocorrelation Breusch-Godfrey Test {helpb lmabpgnl}{col 12}NLS Autocorrelation Breusch-Pagan-Godfrey Test {helpb lmadurmnl}{col 12}NLS Autocorrelation Dynamic Durbin m Test {helpb lmadwnl}{col 12}NLS Autocorrelation Durbin-Watson Test {helpb lmalbnl}{col 12}NLS Autocorrelation Ljung-Box Test {helpb lmavonnl}{col 12}NLS Autocorrelation Von Neumann Ratio Test {helpb lmaznl}{col 12}NLS Autocorrelation Z Test --------------------------------------------------------------------------- {bf:{err:* (3) (MLE) * Maximum Likelihood Estimation Tests:}} {helpb lmamle}{col 12}MLE Autocorrelation Tests {helpb lmabpml}{col 12}MLE Autocorrelation Box-Pierce Test {helpb lmabgml}{col 12}MLE Autocorrelation Breusch-Godfrey Test {helpb lmabpgml}{col 12}MLE Autocorrelation Breusch-Pagan-Godfrey Test {helpb lmadurhml}{col 12}MLE Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests {helpb lmadurmml}{col 12}MLE Autocorrelation Dynamic Durbin m Test {helpb lmadwml}{col 12}MLE Autocorrelation Durbin-Watson Test {helpb lmalbml}{col 12}MLE Autocorrelation Ljung-Box Test {helpb lmavonml}{col 12}MLE Autocorrelation Von Neumann Ratio Test {helpb lmazml}{col 12}MLE Autocorrelation Z Test --------------------------------------------------------------------------- {bf:{err:* (4) (2SLS-IV) * Two-Stage Least Squares & Instrumental Variables Tests:}} {helpb lmareg2}{col 12}2SLS-IV Autocorrelation Tests {helpb lmabg2}{col 12}2SLS-IV Autocorrelation Breusch-Godfrey Test {helpb lmabp2}{col 12}2SLS-IV Autocorrelation Box-Pierce Test {helpb lmabpg2}{col 12}2SLS-IV Autocorrelation Breusch-Pagan-Godfrey Test {helpb lmadurh2}{col 12}2SLS-IV Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests {helpb lmadurm2}{col 12}2SLS-IV Autocorrelation Dynamic Durbin m Test {helpb lmadw2}{col 12}2SLS-IV Autocorrelation Durbin-Watson Test {helpb lmalb2}{col 12}2SLS-IV Autocorrelation Ljung-Box Test {helpb lmavon2}{col 12}2SLS-IV Von Neumann Ratio Autocorrelation Test {helpb lmaz2}{col 12}2SLS-IV Autocorrelation Z Test --------------------------------------------------------------------------- {bf:{err:* (5) Panel Data Tests:}} {helpb lmaxt}{col 12}Panel Data Autocorrelation Tests {helpb lmabxt}{col 12}Panel Data Autocorrelation Baltagi Test {helpb lmabgxt}{col 12}Panel Data Autocorrelation Breusch-Godfrey Test {helpb lmabpxt}{col 12}Panel Data Autocorrelation Box-Pierce Test {helpb lmabpgxt}{col 12}Panel Data Autocorrelation Breusch-Pagan-Godfrey Test {helpb lmadurhxt}{col 12}Panel Data Autocorrelation Dynamic Durbin h and Harvey LM Tests {helpb lmadurmxt}{col 12}Panel Data Autocorrelation Dynamic Durbin m Test {helpb lmadwxt}{col 12}Panel Data Autocorrelation Durbin-Watson Test {helpb lmavonxt}{col 12}Panel Data Von Neumann Ratio Autocorrelation Test {helpb lmawxt}{col 12}Panel Data Autocorrelation Wooldridge Test {helpb lmazxt}{col 12}Panel Data Autocorrelation Z Test --------------------------------------------------------------------------- {bf:{err:* (6) (3SLS-SUR) * Simultaneous Equations Tests:}} {helpb lmareg3}{col 12}(3SLS-SUR) Overall System Autocorrelation Tests {helpb lmhreg3}{col 12}(3SLS-SUR) Overall System Heteroscedasticity Tests {helpb lmnreg3}{col 12}(3SLS-SUR) Overall System Non Normality Tests {helpb lmcovreg3}{col 12}(3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix {helpb r2reg3}{col 12}(3SLS-SUR) Overall System R2, F-Test, and Chi2-Test {helpb diagreg3}{col 12}(3SLS-SUR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (7) (SEM-FIML) * Structural Equation Modeling Tests:}} {helpb lmasem}{col 12}(SEM-FIML) Overall System Autocorrelation Tests {helpb lmhsem}{col 12}(SEM-FIML) Overall System Heteroscedasticity Tests {helpb lmnsem}{col 12}(SEM-FIML) Overall System Non Normality Tests {helpb lmcovsem}{col 12}(SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2sem}{col 12}(SEM-FIML) Overall System R2, F-Test, and Chi2-Test {helpb diagsem}{col 12}(SEM-FIML) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (8) (NL-SUR) * Non Linear Seemingly Unrelated Regression Tests:}} {helpb lmanlsur}{col 12}(NL-SUR) Overall System Autocorrelation Tests {helpb lmhnlsur}{col 12}(NL-SUR) Overall System Heteroscedasticity Tests {helpb lmnnlsur}{col 12}(NL-SUR) Overall System Non Normality Tests {helpb lmcovnlsur}{col 12}(NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2nlsur}{col 12}(NL-SUR) Overall System R2, F-Test, and Chi2-Test {helpb diagnlsur}{col 12}(NL-SUR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (9) (VAR) * Vector Autoregressive Model Tests:}} {helpb lmavar}{col 12}(VAR) Overall System Autocorrelation Tests {helpb lmhvar}{col 12}(VAR) Overall System Heteroscedasticity Tests {helpb lmnvar}{col 12}(VAR) Overall System Non Normality Tests {helpb lmcovvar}{col 12}(VAR) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2var}{col 12}(VAR) Overall System R2, F-Test, and Chi2-Test {helpb diagvar}{col 12}(VAR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {psee} {p_end}