{smcl} {hline} {cmd:help: {helpb lmcovnlsur}}{space 50} {cmd:dialog:} {bf:{dialog lmcovnlsur}} {hline} {bf:{err:{dlgtab:Title}}} {p 4 8 2} {bf:lmcovnlsur: (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix LM Test} {marker 00}{bf:{err:{dlgtab:Table of Contents}}} {p 4 8 2} {p 5}{helpb lmcovnlsur##01:Syntax}{p_end} {p 5}{helpb lmcovnlsur##02:Description}{p_end} {p 5}{helpb lmcovnlsur##03:Saved Results}{p_end} {p 5}{helpb lmcovnlsur##04:References}{p_end} {p 1}*** {helpb lmcovnlsur##05:Examples}{p_end} {p 5}{helpb lmcovnlsur##06:Author}{p_end} {p2colreset}{...} {marker 01}{bf:{err:{dlgtab:Syntax}}} {p 10 4 6} {opt lmcovnlsur}{p_end} {p2colreset}{...} {marker 02}{bf:{err:{dlgtab:Description}}} {p 2 2 2} {cmd:lmcovnlsur} computes (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix LM Test after:{p_end} {p 3 2 2}- (NL-SUR) Seemingly Unrelated Regression {helpb nlsur} for sets of equations.{p_end} {p2colreset}{...} {marker 03}{bf:{err:{dlgtab:Saved Results}}} {p 2 4 2 }{cmd:lmcovnlsur} saves the following in {cmd:r()}: {col 4}{cmd:r(lmcov)}{col 20}LM Diagonal Covariance Matrix Test {col 4}{cmd:r(lmcovp)}{col 20}LM Diagonal Covariance Matrix Test P-Value {col 4}{cmd:r(lmcovdf)}{col 20}Chi2 Degrees of Freedom {marker 04}{bf:{err:{dlgtab:References}}} {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}; 456-461. {p 4 8 2}Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985) {cmd: "The Theory and Practice of Econometrics",} {it:2nd ed., John Wiley & Sons, Inc., New York, USA}. {p2colreset}{...} {marker 05}{bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse lmcovnlsur.dta , clear} {cmd:* (1) NL-SUR Model:} {stata nlsur (y1={B10}+{B11}*y2+{B12}*x1+{B13}*x2) (y2={B20}+{B21}*y1+{B22}*x3+{B23}*x4) , variables(y1 y2 x1 x2 x3 x4)} {stata lmcovnlsur} {stata return list} {cmd:* (2) SUR Model:} {stata sureg (y1 y2 x1 x2) (y2 y1 x3 x4)} {stata lmcovnlsur} {stata return list} {hline} . clear all . sysuse lmcovnlsur.dta , clear . nlsur (y1={B10}+{B11}*y2+{B12}*x1+{B13}*x2) (y2={B20}+{B21}*y1+{B22}*x3+{B23}*x4) , variables(y1 y2 x1 x2 x3 x4) (obs = 17) Calculating NLS estimates... Iteration 0: Residual SS = 3275.692 Iteration 1: Residual SS = 3275.692 Calculating FGNLS estimates... Iteration 0: Scaled RSS = 33.99796 Iteration 1: Scaled RSS = 33.99796 FGNLS regression --------------------------------------------------------------------- Equation | Obs Parms RMSE R-sq Constant ----------------+---------------------------------------------------- 1 y1 | 17 4 8.827101 0.8628 B10 2 y2 | 17 4 10.71362 0.8332 B20 --------------------------------------------------------------------- ------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- /B10 | 159.7348 48.37047 3.30 0.001 64.93046 254.5392 /B11 | .1440474 .1473363 0.98 0.328 -.1447264 .4328211 /B12 | .3736436 .4464905 0.84 0.403 -.5014617 1.248749 /B13 | -1.17085 .2398822 -4.88 0.000 -1.64101 -.7006895 /B20 | 40.22012 31.80722 1.26 0.206 -22.12087 102.5611 /B21 | -.0911744 .2613464 -0.35 0.727 -.6034038 .4210551 /B22 | -.3973436 .2758714 -1.44 0.150 -.9380417 .1433545 /B23 | 2.480269 1.01631 2.44 0.015 .4883381 4.472201 ------------------------------------------------------------------------------ . lmcovnlsur ============================================================================== * (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix LM Test: Method = (fgnls) ============================================================================== Ho: Diagonal Disturbance Covariance Matrix (Independent Equations) Ho: Run NLS - Ha: Run NL-SUR Lagrange Multiplier Test = 0.00149 Degrees of Freedom = 1.0 P-Value > Chi2(1) = 0.96921 ============================================================================== . sureg (y1 y2 x1 x2) (y2 y1 x3 x4) Seemingly unrelated regression ---------------------------------------------------------------------- Equation Obs Parms RMSE "R-sq" chi2 P ---------------------------------------------------------------------- y1 17 3 8.827101 0.8628 106.88 0.0000 y2 17 3 10.71362 0.8332 84.91 0.0000 ---------------------------------------------------------------------- ------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- y1 | y2 | .1440474 .1473363 0.98 0.328 -.1447264 .4328211 x1 | .3736436 .4464905 0.84 0.403 -.5014617 1.248749 x2 | -1.17085 .2398822 -4.88 0.000 -1.64101 -.7006895 _cons | 159.7348 48.37047 3.30 0.001 64.93046 254.5392 -------------+---------------------------------------------------------------- y2 | y1 | -.0911744 .2613464 -0.35 0.727 -.6034038 .4210551 x3 | -.3973436 .2758714 -1.44 0.150 -.9380417 .1433545 x4 | 2.480269 1.01631 2.44 0.015 .4883381 4.472201 _cons | 40.22012 31.80722 1.26 0.206 -22.12087 102.5611 ------------------------------------------------------------------------------ . lmcovnlsur ============================================================================== * (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix LM Test: Method = (sure) ============================================================================== Ho: Diagonal Disturbance Covariance Matrix (Independent Equations) Ho: Run NLS - Ha: Run NL-SUR Lagrange Multiplier Test = 0.00149 Degrees of Freedom = 1.0 P-Value > Chi2(1) = 0.96921 ============================================================================== {marker 06}{bf:{err:{dlgtab:Author}}} {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 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"}} {bf:{err:{dlgtab:LMCOVNLSUR Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih (2012)}{p_end} {p 1 10 1}{cmd:LMCOVNLSUR: "Stata Module to Compute (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix LM Test"}{p_end} {browse "http://ideas.repec.org/c/boc/bocode/s457490.html"} {browse "http://econpapers.repec.org/software/bocbocode/s457490.htm"} {title:Online Help:} {bf:{err:* Breusch-Pagan Diagonal Covariance Matrix Test:}} {helpb lmcovnlsur}{col 12}(NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test {helpb lmcovreg3}{col 12}(3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix Test {helpb lmcovsem}{col 12}(SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test {helpb lmcovvar}{col 12}(VAR) Breusch-Pagan Diagonal Covariance Matrix Test {helpb lmcovxt}{col 12}Panel Data Breusch-Pagan Diagonal Covariance Matrix Test --------------------------------------------------------------------------- {bf:{err:* (1) (3SLS-SUR) * Simultaneous Equations:}} {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:* (2) (SEM-FIML) * Structural Equation Modeling:}} {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:* (3) (NL-SUR) * Non Linear Seemingly Unrelated Regression:}} {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:* (4) (VAR) * Vector Autoregressive Model:}} {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}