-------------------------------------------------------------------------------
help: lmavonnl                                                   dialog: lmavon
> nl
-------------------------------------------------------------------------------

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

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

+-------------------+ ----+ Table of Contents +------------------------------------------------

Syntax Options Description Saved Results References

*** Examples

Authors

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

lmavonnl depvar [if] [in] [weight] , fun(expression) lags(#) [ initial(init_val) variables(varlist) vce(vcetype ]

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

lags(#) Lag Length Order

depvar Dependent Variable

variables(varlist) Independent Variables in model

initial(init_val) Parameters (initial) Starting Values

fun(expression) RHS Mathematical Expression

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

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

lmavonnl computes NLS Autocorrelation Von Neumann Ratio Test at Higher Order AR(p).

Ho: No Autocorrelation - Ha: Autocorrelation - Rho Value for - Von Neumann Ratio Test

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

lmavonnl saves the following in e():

e(rho#) Rho Value for AR(i) e(lmavon#) Von Neumann Ratio Test AR(i)

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

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

Greene, William (2007) "Econometric Analysis", 6th ed., Upper Saddle River, NJ: Prentice-Hall; 387-388.

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.

Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985) "The Theory and Practice of Econometrics", 2nd ed., John Wiley & Sons, Inc., New York, USA; 615.

Theil, Henri (1971) "Principles of Econometrics", John Wiley & Sons, Inc., New York, USA.

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

William E. Griffiths, R. Carter Hill and George G. Judge (1993) "Learning and Practicing Econometrics", John Wiley & Sons, Inc., New York, USA; 721-725.

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

clear all

sysuse lmavonnl.dta , clear

gen ly=ln(y)

lmavonnl ly , fun({B0}+{B1}*k+{B2}*l)

lmavonnl 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) -------------------------------------------------------------------------------

. clear all . sysuse lmavonnl.dta , clear . gen ly=ln(y) . lmavonnl 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 Von Neumann Ratio Test ============================================================================== Ho: No Autocorrelation - Ha: Autocorrelation ------------------------------------------------------------------------------ - Rho Value for Order(1) AR(1)= 0.0271 - Von Neumann Ratio Test AR(1)= 1.9420 df: (4 , 30) ------------------------------------------------------------------------------ - Rho Value for Order(2) AR(2)= 0.0098 - Von Neumann Ratio Test AR(2)= 1.8476 df: (4 , 30) ------------------------------------------------------------------------------ - Rho Value for Order(3) AR(3)= -0.0134 - Von Neumann Ratio Test AR(3)= 1.8359 df: (4 , 30) ------------------------------------------------------------------------------ - Rho Value for Order(4) AR(4)= -0.3725 - Von Neumann Ratio Test AR(4)= 2.5036 df: (4 , 30) ------------------------------------------------------------------------------

+---------+ ----+ Authors +----------------------------------------------------------

- Emad Abd Elmessih Shehata Professor (PhD Economics) 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

- Sahra Khaleel A. Mickaiel Professor (PhD Economics) Cairo University - Faculty of Agriculture - Department of Economics - Egypt Email: sahra_atta@hotmail.com WebPage: http://sahraecon.110mb.com/stata.htm WebPage at IDEAS: http://ideas.repec.org/f/pmi520.html WebPage at EconPapers: http://econpapers.repec.org/RAS/pmi520.htm

+-------------------+ ----+ LMAVONNL Citation +------------------------------------------------

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2012) LMAVONNL: "NLS Autocorrelation Von Neumann Ratio 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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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 ---------------------------------------------------------------------------