help: lmaznl dialog:

Title

lmaznl: NLS Autocorrelation Z Test at Higher Order AR(p)

Table of Contents

Syntax

Options

Description

Saved Results

References

*** Examples

Authors

Syntax

lmaznl 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

lmaznl computes NLS Autocorrelation Z Test at Higher Order AR(p).

Ho: No Autocorrelation - Ha: Autocorrelation
- Rho Value for
- Z Test

Saved Results

lmaznl saves the following in e():

e(rho#) Rho Value for AR(i)
e(lmaz#) Z Test AR(i)
e(lmazp#) Z Test AR(i) P-Value

References

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

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.

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 lmaznl.dta , clear

gen ly=ln(y)

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

lmaznl 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 lmaznl.dta , clear
. gen ly=ln(y)
. lmaznl 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 Z Test
==============================================================================
Ho: No Autocorrelation - Ha: Autocorrelation
------------------------------------------------------------------------------
- Rho Value for Order(1) AR(1)= 0.0271
- Z Test AR(1)= 0.1484 P-Value >Chi2(1) 0.7001
------------------------------------------------------------------------------
- Rho Value for Order(2) AR(2)= 0.0098
- Z Test AR(2)= 0.0538 P-Value >Chi2(2) 0.9735
------------------------------------------------------------------------------
- Rho Value for Order(3) AR(3)= -0.0134
- Z Test AR(3)= -0.0735 P-Value >Chi2(3) 0.9948
------------------------------------------------------------------------------
- Rho Value for Order(4) AR(4)= -0.3725
- Z Test AR(4)= -2.0401 P-Value >Chi2(4) 0.7284
------------------------------------------------------------------------------

Authors

- 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

LMAZNL Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2015)

LMAZNL: "Stata Module to Compute NLS Autocorrelation Z 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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