help: lmcovnlsur dialog:

Title

lmcovnlsur: (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix LM Test

Table of Contents

Syntax

Description

Saved Results

References

*** Examples

Author

Syntax

lmcovnlsur

Description

lmcovnlsur computes (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix LM Test after:

- (NL-SUR) Seemingly Unrelated Regression nlsur for sets of equations.

Saved Results

lmcovnlsur saves the following in r():

r(lmcov) LM Diagonal Covariance Matrix Test
r(lmcovp) LM Diagonal Covariance Matrix Test P-Value
r(lmcovdf) Chi2 Degrees of Freedom

References

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; 456-461.

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.

Examples

clear all

sysuse lmcovnlsur.dta , clear

* (1) NL-SUR Model:

nlsur (y1={B10}+{B11}*y2+{B12}*x1+{B13}*x2) (y2={B20}+{B21}*y1+{B22}*x3+{B23}*x4) , variables(y1 y2 x1 x2 x3 x4)

lmcovnlsur

return list

* (2) SUR Model:

sureg (y1 y2 x1 x2) (y2 y1 x3 x4)

lmcovnlsur

return list

. 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
==============================================================================

Author

Emad Abd Elmessih Shehata
Professor (PhD Economics)
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
Email: emadstat@hotmail.com
WebPage at IDEAS: http://ideas.repec.org/f/psh494.html
WebPage at EconPapers: http://econpapers.repec.org/RAS/psh494.htm

LMCOVNLSUR Citation

Shehata, Emad Abd Elmessih (2012)

LMCOVNLSUR: "Stata Module to Compute (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix LM Test"

http://ideas.repec.org/c/boc/bocode/s457490.html

http://econpapers.repec.org/software/bocbocode/s457490.htm

Online Help:

* Breusch-Pagan Diagonal Covariance Matrix Test:
lmcovnlsur (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test
lmcovreg3 (3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix Test
lmcovsem (SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test
lmcovvar (VAR) Breusch-Pagan Diagonal Covariance Matrix Test
lmcovxt Panel Data Breusch-Pagan Diagonal Covariance Matrix Test
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* (1) (3SLS-SUR) * Simultaneous Equations:
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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* (2) (SEM-FIML) * Structural Equation Modeling:
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
---------------------------------------------------------------------------
* (3) (NL-SUR) * Non Linear Seemingly Unrelated Regression:
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
---------------------------------------------------------------------------
* (4) (VAR) * Vector Autoregressive Model:
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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