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help: lmcovxt                                                        dialog: lm
> covxt
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+-------+ ----+ Title +------------------------------------------------------------

lmcovxt: Breusch-Pagan LM Diagonal Covariance Matrix Panel Test

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

Syntax Options Description Saved Results References

*** Examples

Author

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

lmcovxt depvar indepvars [if] [in] [weight] , id(#) [noconstant vce( vcetype) level(#)]

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

* id(#) Number of Cross Sections in the Model

noconstant suppress constant term

vce(vcetype) ols, robust, cluster, bootstrap, jackknife, hc2, hc3

level(#) set confidence level; default is level(95)

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

lmcovxt computes Breusch-Pagan LM Diagonal Covariance Matrix Test for panel data. Ho: Null hypothesis of diagonal covariance matrix means no cross-section correlation. LM test has an asymptotic Chi2 distribution with [N(N-1)/2] degrees of freedom.

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

lmcovxt saves the following in r():

r(lmcov) Lagrange Multiplier LM Test r(lmcovp) Lagrange Multiplier LM Test P-Value r(lmcovdf) Chi2 Degrees of Freedom

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

Greene, William (1993) "Econometric Analysis", 2nd ed., Macmillan Publishing Company Inc., New York, USA..

Greene, William (2007) "Econometric Analysis", 6th ed., Macmillan Publishing Company Inc., 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.

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 lmcovxt.dta, clear

db lmcovxt

lmcovxt y x1 , id(4)

. lmcovxt y x1 , id(4) ============================================================================== * Breusch-Pagan LM Diagonal Covariance Matrix Test ============================================================================== Ho: Run OLS Regression - Ha: Run Panel Regression

Lagrange Multiplier Test = 25.23999 Degrees of Freedom = 6.0 P-Value > Chi2(6) = 0.00031 ==============================================================================

+--------+ ----+ Author +-----------------------------------------------------------

Emad Abd Elmessih Shehata Assistant Professor 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

+------------------+ ----+ lmcovxt Citation +-------------------------------------------------

Shehata, Emad Abd Elmessih (2012) LMCOVXT: "Stata Module to Compute Breusch-Pagan Lagrange Multiplier Diagonal Covariance Matrix Test for Panel Data"

Online Help:

lmcovxt, xtidt, ghxt. (if installed).