help: lmfreg2 dialog:

Title

lmfreg2: 2SLS-IV Linear vs Log-Linear Functional Form Tests

Table of Contents

Syntax

Description

Model

GMM Options

Other Options

Saved Results

References

*** Examples

Authors

Syntax

lmfreg2 depvar indepvars (endog = inst) [if] [in] ,

model(2sls, liml, gmm, melo, fuller, kclass)

[ kc(#) kf(#) hetcov(type) noconstant noconexog ]

Description

lmfreg2 computes 2SLS-IV Linear vs Log-Linear Functional Form Tests for instrumental variables regression models, via 2sls, liml, melo, gmm, and kclass.

- R-squared
- Log Likelihood Function (LLF)
- Antilog R2
- Box-Cox Test
- Bera-McAleer BM Test
- Davidson-Mackinnon PE Test

Model

model description

2sls Two-Stage Least Squares (2SLS)

liml Limited-Information Maximum Likelihood (LIML)

melo Minimum Expected Loss (MELO)

fuller Fuller k-Class LIML

kclass Theil K-Class LIML

gmm Generalized Method of Moments (GMM)

GMM Options

hetcov Options Description

hetcov(white) White Method

hetcov(bart) Bartlett Method

hetcov(dan) Daniell Method

hetcov(nwest) Newey-West Method

hetcov(parzen) Parzen Method

hetcov(quad) Quadratic spectral Method

hetcov(tent) Tent Method

hetcov(trunc) Truncated Method

hetcov(tukeym) Tukey-Hamming Method

hetcov(tukeyn) Tukey-Hanning Method

Other Options

kf(#) Fuller k-Class LIML Value

kc(#) Theil k-Class LIML Value

noconstant Exclude Constant Term from RHS Equation only

noconexog Exclude Constant Term from all Equations (both RHS and Instrumental Equations). Results of using noconexog option are identical to Stata ivregress.
The default of lmfreg2 is including Constant Term in both RHS and Instrumental Equations

Saved Results

lmfreg2 saves the following in e():

*** 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

Damodar Gujarati (1995)
"Basic Econometrics"
3rd Edition, McGraw Hill, New York, USA; 210,265.

Greene, William (1993)
"Econometric Analysis",
2nd ed., Macmillan Publishing Company Inc., New York, USA; 616-618.

Greene, William (2007)
"Econometric Analysis",
6th ed., Upper Saddle River, NJ: Prentice-Hall; 387-388.

Griffiths, W., R. Carter Hill & George Judge (1993)
"Learning and Practicing Econometrics",
John Wiley & Sons, Inc., New York, USA; 602-606.

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; 615.

Kmenta, Jan (1986)
"Elements of Econometrics",
2nd ed., Macmillan Publishing Company, Inc., New York, USA; 718.

Maddala, G. (1992)
"Introduction to Econometrics",
2nd ed., Macmillan Publishing Company, New York, USA; 222-223, 358-366.

Park, S. (1982)
"Some Sampling Properties of Minimum Expected Loss (MELO) Estimators of Structural Coefficients",
J. Econometrics, Vol. 18, No. 2, April,; 295-311.

White, Halbert (1980)
"A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity",
Econometrica, 48; 817-838.

William E. Griffiths, R. Carter Hill and George G. Judge (1993)
"Learning and Practicing Econometrics",
John Wiley & Sons, Inc., New York, USA.

Zellner, Arnold (1978)
"Estimation of Functions of Population Means and Regression Coefficients Including Structural Coefficients: A Minimum Expected Loss (MELO) Approach",
J. Econometrics, Vol. 8,; 127-158.

Zellner, Arnold & S. Park (1979)
"Minimum Expected Loss (MELO) Estimators for Functions of Parameters and Structural Coefficients of Econometric Models",
J. Am. Stat. Assoc., Vol. 74; 185-193.

Examples

clear all

sysuse lmfreg2.dta , clear

db lmfreg2

lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(melo)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(liml)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(fuller) kf(0.5)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(kclass) kc(0.5)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(white)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(bart)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(dan)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(nwest)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(parzen)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(quad)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tent)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(trunc)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeym)
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeyn)

. clear all
. sysuse lmfreg2.dta , clear
. lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls)

==============================================================================
* Two Stage Least Squares (2SLS)
==============================================================================
y1 = y2 + x1 + x2
------------------------------------------------------------------------------
Sample Size = 17
Wald Test = 79.9520 | P-Value > Chi2(3) = 0.0000
F-Test = 26.6507 | P-Value > F(3 , 13) = 0.0000
(Buse 1973) R2 = 0.8592 | Raw Moments R2 = 0.9954
(Buse 1973) R2 Adj = 0.8267 | Raw Moments R2 Adj = 0.9944
Root MSE (Sigma) = 10.2244 | Log Likelihood Function = -61.3630
------------------------------------------------------------------------------
- R2h= 0.8593 R2h Adj= 0.8268 F-Test = 26.46 P-Value > F(3 , 13) 0.0000
- R2v= 0.8765 R2v Adj= 0.8480 F-Test = 30.75 P-Value > F(3 , 13) 0.0000
------------------------------------------------------------------------------
y1 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y2 | .237333 .2422811 0.98 0.345 -.2860835 .7607495
x1 | .2821278 .5433329 0.52 0.612 -.8916715 1.455927
x2 | -1.044795 .362648 -2.88 0.013 -1.828248 -.2613411
_cons | 145.8444 61.72083 2.36 0.034 12.50468 279.1842
------------------------------------------------------------------------------
* Y = LHS Dependent Variable: 1 = y1
* Yi = RHS Endogenous Variables: 1 = y2
* Xi = RHS Included Exogenous Vars: 2 = x1 x2
* Xj = RHS Excluded Exogenous Vars: 2 = x3 x4
* Z = Overall Instrumental Vars: 4 = x1 x2 x3 x4

==============================================================================
* 2SLS-IV Linear vs Log-Linear Functional Form Tests - Model= (2sls)
==============================================================================
(1) R-squared
Linear R2 = 0.8592
Log-Log R2 = 0.8756
------------------------------------------------------------------------------
(2) Log Likelihood Function (LLF)
LLF - Linear = -61.3630
LLF - Log-Log = -60.6539
------------------------------------------------------------------------------
(3) Antilog R2
Linear vs Log-Log: R2Lin = 0.8434
Log-Log vs Linear : R2log = 0.8853
------------------------------------------------------------------------------
(4) Box-Cox Test = 1.1614 P-Value > Chi2(1) 0.2812
Ho: Choose Log-Log Model - Ha: Choose Linear Model
------------------------------------------------------------------------------
(5) Bera-McAleer BM Test
Ho: Choose Linear Model = 0.3475 P-Value > F(1, 12) 0.5665
Ho: Choose Log-Log Model = 1.3163 P-Value > F(1, 12) 0.2736
------------------------------------------------------------------------------
(6) Davidson-Mackinnon PE Test
Ho: Choose Linear Model = 0.3928 P-Value > F(1, 12) 0.5426
Ho: Choose Log-Log Model = 1.4537 P-Value > F(1, 12) 0.2512
------------------------------------------------------------------------------

Authors

- Emad Abd Elmessih Shehata
Professor (PhD Economics)
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
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

LMFREG2 Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2012)

LMFREG2: "2SLS-IV Linear vs Log-Linear Functional Form Tests"

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