*! lmaznl V1.0 08/08/2015 *! *! Emad Abd Elmessih Shehata *! Professor (PhD Economics) *! 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 *! 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 program define lmaznl , eclass version 11.2 syntax varlist(min=1 max=1) [if] [in] [aw fw pw iw] , /// [fun(str) LAGs(int 1) vce(str) INitial(str) level(passthru) /// ITERate(int 0) NOLog VARiables(varlist numeric ts) ROBust VCE(passthru) * ] gettoken yvar : varlist qui marksample touse qui markout `touse' `varlist' , strok tempvar EE Eo DE Time TimeN U Ue_ML U2 E LE LEo tempname E E1 Eo N SSEo Rho lmaz SSE local wgt if "`weight'`exp'" != "" { local wgt "[`weight'`exp']" } qui gen `Time'=_n if `touse' qui gen `TimeN'=_n qui tsset `Time' nl ( `yvar' = `fun' ) if `touse' `wgt' , initial(`initial') `vce' `level' /// iterate(`iterate') `nolog' `variables' `robust' qui predict `Ue_ML' if `touse' , res qui mkmat `Ue_ML' if `touse' , matrix(`Ue_ML') local N = e(N) matrix `SSE'=`Ue_ML''*`Ue_ML' scalar `SSEo'=`SSE'[1,1] qui gen `E' =`Ue_ML' if `touse' cap drop `LE'* qui forvalue i=1/`lags' { tempvar E`i' EE`i' LE`i' LEo`i' DE`i' LEE`i' gen `E`i''=`E'^`i' if `touse' gen `LEo`i''=L`i'.`E' if `touse' gen `LEE`i''=L`i'.`E'*`E' if `touse' summ `LEE`i'' if `touse' scalar `SSE'`i'=r(sum) scalar `Rho'`i'=`SSE'`i'/`SSEo' scalar `lmaz'`i'=`Rho'`i'*sqrt(`N') } di di _dup(78) "{bf:{err:=}}" di as txt "{bf:{err:*** NLS Autocorrelation Z Test}}" di _dup(78) "{bf:{err:=}}" di as txt "{bf: Ho: No Autocorrelation - Ha: Autocorrelation}" di _dup(78) "-" if "`lags'"!="" { forvalue i=1/`lags' { di as txt "- Rho Value for Order(" `i' ")" _col(40) "AR(" `i' ")=" as res %8.4f `Rho'`i' ereturn scalar rho`i'=`Rho'`i' di as txt "- Z Test" _col(40) "AR(" `i' ")=" as res %8.4f `lmaz'`i' _col(56) as txt "P-Value >Chi2(`i')" _col(73) as res %5.4f chi2tail(`i', abs(`lmaz'`i')) ereturn scalar lmaz`i'=`lmaz'`i' ereturn scalar lmazp`i'=chi2tail(`i', abs(`lmaz'`i')) di _dup(78) "-" } } qui tsset `TimeN' end