{smcl} {hline} {cmd:help: {helpb lmcovxt}}{space 50} {cmd:dialog:} {bf:{dialog lmcovxt}} {hline} {bf:{err:{dlgtab:Title}}} {p 4 8 2} {bf:lmcovxt: Panel Data Breusch-Pagan Diagonal Covariance Matrix LM Test} {marker 00}{bf:{err:{dlgtab:Table of Contents}}} {p 4 8 2} {p 5}{helpb lmcovxt##01:Syntax}{p_end} {p 5}{helpb lmcovxt##02:Options}{p_end} {p 5}{helpb lmcovxt##03:Description}{p_end} {p 5}{helpb lmcovxt##04:Saved Results}{p_end} {p 5}{helpb lmcovxt##05:References}{p_end} {p 1}*** {helpb lmcovxt##06:Examples}{p_end} {p 5}{helpb lmcovxt##07:Author}{p_end} {p2colreset}{...} {marker 01}{bf:{err:{dlgtab:Syntax}}} {p 4 4 6} {opt lmcovxt} {depvar} {indepvars} {ifin} {weight} , {bf:{err:id(var)}} {bf:{err:it(var)}} {err:[}{opt nocons:tant} {opth vce(vcetype)} {opt l:evel(#)}{err:]}{p_end} {p2colreset}{...} {marker 02}{bf:{err:{dlgtab:Options}}} {p 1 1 1} {synoptset 15 tabbed}{...} {col 3}* {cmd: {opt id(var)}{col 20}Cross Sections ID variable name} {col 3}* {cmd: {opt it(#)}{col 20}Time Series ID variable name} {col 3}{opt nocons:tant}{col 20}suppress constant term {synopt :{opth vce(vcetype)}}{opt ols}, {opt r:obust}, {opt cl:uster}, {opt boot:strap}, {opt jack:knife}, {opt hc2}, {opt hc3}{p_end} {synopt :{opt l:evel(#)}}set confidence level; default is {cmd:level(95)}{p_end} {p2colreset}{...} {marker 03}{bf:{err:{dlgtab:Description}}} {p 2 2 2} {cmd:lmcovxt} computes Panel Data Breusch-Pagan Diagonal Covariance Matrix LM Test.{p_end} {p 2 2 2} for balanced cross sections data.{p_end} {p 2 2 2} 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.{p_end} {p2colreset}{...} {marker 04}{bf:{err:{dlgtab:Saved Results}}} {p 2 4 2 }{cmd:lmcovxt} 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 05}{bf:{err:{dlgtab:References}}} {p 4 8 2}Greene, William (1993) {cmd: "Econometric Analysis",} {it:2nd ed., Macmillan Publishing Company Inc., New York, USA.}. {p 4 8 2}Greene, William (2007) {cmd: "Econometric Analysis",} {it:6th ed., Macmillan Publishing Company Inc., New York, USA.}. {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}. {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 06}{bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse lmcovxt.dta, clear} {stata db lmcovxt} {stata lmcovxt y x1 , id(id) it(t)} ============================================================================== * Panel Data Breusch-Pagan Diagonal Covariance Matrix LM 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 ============================================================================== {marker 07}{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:{col 27}{browse "http://emadstat.110mb.com/stata.htm"}} {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:LMCOVXT Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih (2012)}{p_end} {p 1 10 1}{cmd:LMCOVXT: "Stata Module to Compute Panel Data Breusch-Pagan Diagonal Covariance Matrix LM Test"}{p_end} {browse "http://ideas.repec.org/c/boc/bocode/s457412.html"} {browse "http://econpapers.repec.org/software/bocbocode/s457412.htm"} {title:Online Help:} {p 2 12 2}Official: {helpb xtdpd}, {helpb xtfrontier}, {helpb xtgls}, {helpb xtivreg}, {helpb xtpcse}, {helpb xtrc}, {helpb xtreg}, {helpb xtregar}, {helpb xttobit}.{p_end} --------------------------------------------------------------------------- {bf:{err:* 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 lmcovnlsur}{col 12}(NL-SUR) 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:Panel Data Regression Models:}} {helpb diagxt}{col 12}Panel Data Models: Ridge & Weighted Regression {helpb xtregdhp}{col 12}Han-Philips (2010) Linear Dynamic Panel Data Regression {helpb xtregam}{col 12}Amemiya Random-Effects Panel Data: Ridge & Weighted Regression {helpb xtregbem}{col 12}Between-Effects Panel Data: Ridge & Weighted Regression {helpb xtregbn}{col 12}Balestra-Nerlove Random-Effects Panel Data: Ridge & Weighted Regression {helpb xtregfem}{col 12}Fixed-Effects Panel Data: Ridge & Weighted Regression {helpb xtregmle}{col 12}Trevor Breusch MLE Random-Effects Panel Data: Ridge & Weighted Regression {helpb xtregrem}{col 12}Fuller-Battese GLS Random-Effects Panel Data: Ridge & Weighted Regression {helpb xtregsam}{col 12}Swamy-Arora Random-Effects Panel Data: Ridge & Weighted Regression {helpb xtregwem}{col 12}Within-Effects Panel Data: Ridge & Weighted Regression {helpb xtregwhm}{col 12}Wallace-Hussain Random-Effects Panel Data: Ridge & Weighted Regression {helpb xtreghet}{col 12}MLE Random-Effects Multiplicative Heteroscedasticity Panel Data Regression --------------------------------------------------------------------------- {bf:{err:Panel Data Tests:}} {bf:{err:* (1) * Autocorrelation Tests:}} {helpb lmaxt}{col 12}Panel Data Autocorrelation Tests {helpb lmabxt}{col 12}Panel Data Autocorrelation Baltagi Test {helpb lmabgxt}{col 12}Panel Data Autocorrelation Breusch-Godfrey Test {helpb lmabpxt}{col 12}Panel Data Autocorrelation Box-Pierce Test {helpb lmabpgxt}{col 12}Panel Data Autocorrelation Breusch-Pagan-Godfrey Test {helpb lmadurhxt}{col 12}Panel Data Autocorrelation Dynamic Durbin h and Harvey LM Tests {helpb lmadurmxt}{col 12}Panel Data Autocorrelation Dynamic Durbin m Test {helpb lmadwxt}{col 12}Panel Data Autocorrelation Durbin-Watson Test {helpb lmavonxt}{col 12}Panel Data Von Neumann Ratio Autocorrelation Test {helpb lmawxt}{col 12}Panel Data Autocorrelation Wooldridge Test {helpb lmazxt}{col 12}Panel Data Autocorrelation Z Test --------------------------------------------------------------------------- {bf:{err:* (2) * Heteroscedasticity Tests:}} {helpb lmhxt}{col 12}Panel Data Heteroscedasticity Tests {helpb lmhgwxt}{col 12}Panel Data Groupwise Heteroscedasticity Tests {helpb ghxt}{col 12}Panel Groupwise Heteroscedasticity Tests {helpb lmhlmxt}{col 12}Panel Data Groupwise Heteroscedasticity Breusch-Pagan LM Test {helpb lmhlrxt}{col 12}Panel Data Groupwise Heteroscedasticity Greene LR Test {helpb lmharchxt}{col 12}Panel Data Heteroscedasticity Engle (ARCH) Test {helpb lmhcwxt}{col 12}Panel Data Heteroscedasticity Cook-Weisberg Test {helpb lmhglxt}{col 12}Panel Data Heteroscedasticity Glejser Test {helpb lmhharvxt}{col 12}Panel Data Heteroscedasticity Harvey Test {helpb lmhhpxt}{col 12}Panel Data Heteroscedasticity Hall-Pagan Test {helpb lmhmssxt}{col 12}Panel Data Heteroscedasticity Machado-Santos-Silva Test {helpb lmhwaldxt}{col 12}Panel Data Heteroscedasticity Wald Test {helpb lmhwhitext}{col 12}Panel Data Heteroscedasticity White Test --------------------------------------------------------------------------- {bf:{err:* (3) * Non Normality Tests:}} {helpb lmnxt}{col 12}Panel Data Non Normality Tests {helpb lmnadxt}{col 12}Panel Data Non Normality Anderson-Darling Test {helpb lmndhxt}{col 12}Panel Data Non Normality Doornik-Hansen Test {helpb lmndpxt}{col 12}Panel Data Non Normality D'Agostino-Pearson Test {helpb lmngryxt}{col 12}Panel Data Non Normality Geary Runs Test {helpb lmnjbxt}{col 12}Panel Data Non Normality Jarque-Bera Test {helpb lmnwhitext}{col 12}Panel Data Non Normality White Test --------------------------------------------------------------------------- {bf:{err:* (4) * Panel Data Error Component Tests:}} {helpb lmecxt}{col 12}Panel Data Error Component Tests --------------------------------------------------------------------------- {bf:{err:* (5) * Panel Data Diagonal Covariance Matrix Test:}} {helpb lmcovxt}{col 12}Panel Data Breusch-Pagan Diagonal Covariance Matrix LM Test --------------------------------------------------------------------------- {bf:{err:* (6) * Panel Data ModeL Selection Diagnostic Criteria:}} {helpb diagxt}{col 12}Panel Data ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (7) * Panel Data Specification Tests:}} {helpb lmhausxt}{col 12}Panel Data Hausman Specification Test {helpb resetxt}{col 12}Panel Data REgression Specification Error Tests (RESET) --------------------------------------------------------------------------- {bf:{err:* (8) * Panel Data Identification Variables:}} {helpb xtidt}{col 14}Identification Variables in Panel Data --------------------------------------------------------------------------- {psee} {p_end}