+-------+ ----+ Title +------------------------------------------------------------
lmfreg: OLS Linear vs Log-Linear Functional Form Tests
+--------+ ----+ Syntax +-----------------------------------------------------------
lmfreg depvar indepvars [if] [in] , [ noconstant coll ]
+---------+ ----+ Options +----------------------------------------------------------
noconstant suppress constant term
coll Keep Collinear Variables
+-------------+ ----+ Description +------------------------------------------------------
lmfreg computes OLS Linear vs Log-Linear Functional Form Tests.
- R-squared - Log Likelihood Function (LLF) - Antilog R2 - Box-Cox Test - Bera-McAleer BM Test - Davidson-Mackinnon PE Test
+---------------+ ----+ Saved Results +----------------------------------------------------
lmfreg saves the following in e():
Scalars
*** Linear vs Log-Linear Functional Form Tests: e(r2lin) Linear R2 e(r2log) Log-Log R2 e(llflin) LLF - Linear e(llflog) LLF - Log-Log e(r2lina) Antilog R2 Linear vs Log-Log: R2Lin e(r2loga) Antilog R2 Log-Log vs Linear: R2log e(boxcox) Box-Cox Test e(boxcoxp) Box-Cox Test P-Value e(bmlin) Bera-McAleer BM Test - Linear ModeL e(bmlinp) Bera-McAleer BM Test - Linear ModeL P-Value e(bmlog) Bera-McAleer BM Test - Log-Log ModeL e(bmlogp) Bera-McAleer BM Test - Log-Log ModeL P-Value e(dmlin) Davidson-Mackinnon PE Test - Linear ModeL e(dmlinp) Davidson-Mackinnon PE Test - Linear ModeL P-Value e(dmlog) Davidson-Mackinnon PE Test - Log-Log ModeL e(dmlogp) Davidson-Mackinnon PE Test - Log-Log ModeL P-Value
+------------+ ----+ 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.
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; 242.
+----------+ ----+ Examples +---------------------------------------------------------
clear all
db lmfreg
sysuse lmfreg.dta, clear
lmfreg y x1 x2
ereturn list
============================================================================== * Ordinary Least Squares (OLS) ============================================================================== y = x1 + x2 ------------------------------------------------------------------------------ Sample Size = 17 Wald Test = 273.3662 | P-Value > Chi2(2) = 0.0000 F-Test = 136.6831 | P-Value > F(2 , 14) = 0.0000 (Buse 1973) R2 = 0.9513 | Raw Moments R2 = 0.9986 (Buse 1973) R2 Adj = 0.9443 | Raw Moments R2 Adj = 0.9984 Root MSE (Sigma) = 5.5634 | Log Likelihood Function = -51.6471 ------------------------------------------------------------------------------ - R2h= 0.9513 R2h Adj= 0.9443 F-Test = 136.68 P-Value > F(2 , 14) 0.0000 - R2v= 0.9513 R2v Adj= 0.9443 F-Test = 136.68 P-Value > F(2 , 14) 0.0000 ------------------------------------------------------------------------------ y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- x1 | 1.061709 .2666739 3.98 0.001 .4897506 1.633668 x2 | -1.382986 .0838143 -16.50 0.000 -1.562749 -1.203222 _cons | 130.7066 27.09429 4.82 0.000 72.59515 188.8181 ------------------------------------------------------------------------------ ============================================================================== *** OLS Linear vs Log-Linear Functional Form Tests ============================================================================== (1) R-squared Linear R2 = 0.9513 Log-Log R2 = 0.9711 --------------------------------------------------------------------------- (2) Log Likelihood Function (LLF) LLF - Linear = -51.6471 LLF - Log-Log = -47.5914 --------------------------------------------------------------------------- (3) Antilog R2 Linear vs Log-Log: R2Lin = 0.9649 Log-Log vs Linear : R2log = 0.9576 --------------------------------------------------------------------------- (4) Box-Cox Test = 4.0556 P-Value > Chi2(1) 0.0440 Ho: Choose Log-Log Model - Ha: Choose Linear Model --------------------------------------------------------------------------- (5) Bera-McAleer BM Test Ho: Choose Linear Model = 11.9464 P-Value > F(1, 13) 0.0043 Ho: Choose Log-Log Model = 6.1092 P-Value > F(1, 13) 0.0280 --------------------------------------------------------------------------- (6) Davidson-Mackinnon PE Test Ho: Choose Linear Model = 11.9462 P-Value > F(1, 13) 0.0043 Ho: Choose Log-Log Model = 6.1092 P-Value > F(1, 13) 0.0280 ------------------------------------------------------------------------------
+---------+ ----+ Authors +----------------------------------------------------------
- Emad Abd Elmessih Shehata Professor (PhD Economics) 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
- Sahra Khaleel A. Mickaiel Professor (PhD Economics) Cairo University - Faculty of Agriculture - Department of Economics - Egypt Email: sahra_atta@hotmail.com WebPage: http://sahraecon.110mb.com/stata.htm WebPage at IDEAS: http://ideas.repec.org/f/pmi520.html WebPage at EconPapers: http://econpapers.repec.org/RAS/pmi520.htm
+-----------------+ ----+ lmfreg Citation +--------------------------------------------------
Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2012) LMFREG: "OLS Linear vs Log-Linear Functional Form Tests"
http://ideas.repec.org/c/boc/bocode/s457507.html
http://econpapers.repec.org/software/bocbocode/s457507.htm
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lmfreg OLS Linear vs Log-Linear Functional Form Tests lmfreg2 2SLS-IV Linear vs Log-Linear Functional Form Tests