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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).