help: lmavon dialog:

Title

lmavon: Von Neumann Ratio Autocorrelation Test at Higher Order AR(p)

Syntax

lmavon 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

lmavon computes Von Neumann Ratio Autocorrelation Test after regress command.

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

Von Neumann Ratio Test = DW(i)*N/(N-1)

where
DW(i) = Durbin-Watson Test = sum((E-`E'[n-i])^2)/sum(E^).
N = Number of Observations.
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(von_#) Von Neumann Ratio Autocorrelation Test at Order AR(i)

Examples

clear all

db lmavon

sysuse lmavon.dta , clear

lmavon y x1 x2 , lags(1)

lmavon y x1 x2 , lags(4)

return list

====================================================
* Von Neumann Ratio Autocorrelation Test *
====================================================
Ho: No Autocorrelation - Ha: Autocorrelation
---------------------------------------------------------------------------
* Rho Value for AR(1) = -0.1455
* Von Neumann Ratio Test AR(1) = 2.1447 df: (3 , 17)
---------------------------------------------------------------------------
* Rho Value for AR(2) = -0.2231
* Von Neumann Ratio Test AR(2) = 2.1632 df: (3 , 17)
---------------------------------------------------------------------------
* Rho Value for AR(3) = 0.1871
* Von Neumann Ratio Test AR(3) = 1.2703 df: (3 , 17)
---------------------------------------------------------------------------
* Rho Value for AR(4) = -0.3002
* Von Neumann Ratio Test AR(4) = 2.1391 df: (3 , 17)
---------------------------------------------------------------------------

References

Maddala, G. (1992)
"Introduction to Econometrics",
2nd ed., Macmillan Publishing Company, New York, USA; 245.

Von, Neumann (1941)
"Distribution of the Ratio of the Mean Square Successive Difference to the Variance",
Annals Math. Stat., Vol. 12; 367-395.

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

lmavon Citation

Shehata, Emad Abd Elmessih (2011)

"lmavon: Stata Module to Compute Von Neumann Ratio Autocorrelation Test at Higher Order AR(p) after OLS Regression"

Also see

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