*! lmhcw V1.0 01/05/2014
*!
*! Emad Abd Elmessih Shehata
*! Professor (PhD Economics)
*! Agricultural Research Center - Agricultural Economics Research Institute - Egypt
*! Email: emadstat@hotmail.com
*! 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 at IDEAS:      http://ideas.repec.org/f/pmi520.html
*! WebPage at EconPapers: http://econpapers.repec.org/RAS/pmi520.htm

program define lmhcw , eclass
version 11.0
syntax varlist [if] [in] , [NOCONStant LAGs(int 1) coll]
tempvar DE DF1 DFF DFF1 DFF2 DumE E E2 E3 E4 EE Eo Es Es1 Ev Hat Wi
tempvar ht L LDE LE LEo lf LY LYh LYh2 SSE Time U U2 Ue wald weit
tempvar Wio WS X0 Yb Yh Yh2 Yhb Yho Yt YY YYm YYv Yh_ML Ue_ML TimeN
tempname b B b1 b2 Beta Bv Bx Cov E E1 EE1 Eg Eo Ew F D
tempname h Hat HT IPhi J K M1 M2 OM P Phi Pm Q S X X0
tempname Sig2 Sig2n Sig2o VP W W1 W2 Wald We Wi Wi1 Wio WY
tempname Yi Z Z0 Z1 Zo mh SST1 SST2 V v1 Y Yh Nn N kx DF kb SSEo llf
gettoken yvar xvar : varlist
qui marksample touse
qui markout `touse' `varlist' , strok
qui cap count if `touse'
local N = r(N)
scalar `Nn'=`N'
qui gen `TimeN'=_n
qui gen `Time'=_n if `touse'
qui tsset `Time'
qui gen `X0'=1 if `touse'
matrix `X0'= J(`N',1,1)
local both : list yvar & xvar
if "`both'" != "" {
di
di as err " {bf:{cmd:`both'} included in both LHS and RHS Variables}"
di as res " LHS: `yvar'"
di as res " RHS: `xvar'"
 exit
 }
 if "`coll'"=="" {
_rmcoll `varlist' if `touse' , `noconstant' `coll' forcedrop
 local varlist "`r(varlist)'"
gettoken yvar xvar : varlist
 }
local kx : word count `xvar'
mkmat `yvar' if `touse' , matrix(`Y')
if "`noconstant'"!="" {
qui mkmat `xvar' if `touse' , matrix(`X')
scalar `DF'=`N'-`kx'
scalar `kb'=`kx'
 }
 else {
qui mkmat `xvar' `X0' if `touse' , matrix(`X')
scalar `DF'=`N'-`kx'-1
scalar `kb'=`kx'+1
 }
qui gen `Wi'=1 if `touse'
qui gen `weit' = 1 if `touse'
mkmat `Wi' if `touse' , matrix(`Wi')
matrix `Wi'=diag(`Wi')
tempname SSEo Sigo r2bu r2bu_a r2raw r2raw_a R20 f fp wald waldp
tempname r2v r2v_a fv fvp r2h r2h_a fh fhp SSTm SSE1 SST11 SST21 Rho
di
di _dup(78) "{bf:{err:=}}"
di as txt "{bf:{err:* Ordinary Least Squares (OLS)}}"
di _dup(78) "{bf:{err:=}}"
matrix `B'=invsym(`X''*`X')*`X''*`Y'
matrix `E'=`Y'-`X'*`B'
matrix `Yh_ML'=`X'*`B'
matrix `Ue_ML'=`E'
qui svmat `Yh_ML' , name(`Yh_ML')
qui svmat `Ue_ML' , name(`Ue_ML')
qui rename `Yh_ML'1 `Yh_ML'
qui rename `Ue_ML'1 `Ue_ML'
matrix `SSE'=`E''*`E'
scalar `SSEo'=`SSE'[1,1]
scalar `Sig2o'=`SSEo'/`DF'
scalar `Sig2n'=`SSEo'/`N'
scalar `Sigo'=sqrt(`Sig2o')
matrix `Cov'=`Sig2o'*inv(`X''*`X')
qui summ `Yh_ML' if `touse'
local NUM=r(Var)
qui summ `yvar' if `touse'
local DEN=r(Var)
scalar `r2v'=`NUM'/`DEN'
scalar `r2v_a'=1-((1-`r2v')*(`N'-1)/`DF')
scalar `fv'=`r2v'/(1-`r2v')*(`N'-`kb')/(`kx')
scalar `fvp'=Ftail(`kx', `DF', `fv')
qui correlate `Yh_ML' `yvar' if `touse'
scalar `r2h'=r(rho)*r(rho)
scalar `r2h_a'=1-((1-`r2h')*(`N'-1)/`DF')
scalar `fh'=`r2h'/(1-`r2h')*(`N'-`kb')/(`kx')
scalar `fhp'=Ftail(`kx', `DF', `fh')
local Sig=`Sigo'
qui summ `yvar' if `touse'
local Yb=r(mean)
qui gen `YYm'=(`yvar'-`Yb')^2 if `touse'
qui summ `YYm' if `touse'
qui scalar `SSTm' = r(sum)
qui gen `YYv'=(`yvar')^2 if `touse'
qui summ `YYv' if `touse'
local SSTv = r(sum)
qui summ `weit' if `touse'
qui gen `Wi1'=sqrt(`weit'/r(mean)) if `touse'
mkmat `Wi1' if `touse' , matrix(`Wi1')
matrix `P' =diag(`Wi1')
qui gen `Wio'=(`Wi1') if `touse'
mkmat `Wio' if `touse' , matrix(`Wio')
matrix `Wio'=diag(`Wio')
matrix `Pm' =`Wio'
matrix `IPhi'=`P''*`P'
matrix `Phi'=inv(`P''*`P')
matrix `J'= J(`N',1,1)
matrix `D'=(`J'*`J''*`IPhi')/`N'
matrix `SSE'=`Ue_ML''*`IPhi'*`Ue_ML'
matrix `SST1'=(`Y'-`D'*`Y')'*`IPhi'*(`Y'-`D'*`Y')
matrix `SST2'=(`Y''*`Y')
scalar `SSE1'=`SSE'[1,1]
scalar `SST11'=`SST1'[1,1]
scalar `SST21'=`SST2'[1,1]
scalar `r2bu'=1-`SSE1'/`SST11'
 if `r2bu'< 0 {
scalar `r2bu'=`r2h'
 }
scalar `r2bu_a'=1-((1-`r2bu')*(`N'-1)/`DF')
scalar `r2raw'=1-`SSE1'/`SST21'
scalar `r2raw_a'=1-((1-`r2raw')*(`N'-1)/`DF')
scalar `f'=`r2bu'/(1-`r2bu')*(`N'-`kb')/`kx'
scalar `fp'= Ftail(`kx', `DF', `f')
scalar `wald'=`f'*`kx'
scalar `waldp'=chi2tail(`kx', abs(`wald'))
scalar `llf'=-(`N'/2)*log(2*_pi*`SSEo'/`N')-(`N'/2)
local Nof =`N'
local Dof =`DF'
matrix `B'=`B''
if "`noconstant'"!="" {
matrix colnames `Cov' = `xvar'
matrix rownames `Cov' = `xvar'
matrix colnames `B'   = `xvar'
 }
 else {
matrix colnames `Cov' = `xvar' _cons
matrix rownames `Cov' = `xvar' _cons
matrix colnames `B'   = `xvar' _cons
 }
yxregeq `yvar' `xvar'
di as txt _col(3) "Sample Size" _col(21) "=" %12.0f as res `N'
ereturn post `B' `Cov' , dep(`yvar') obs(`Nof') dof(`Dof')
qui test `xvar'
scalar `f'=r(F)
scalar `fp'= Ftail(`kx', `DF', `f')
scalar `wald'=`f'*`kx'
scalar `waldp'=chi2tail(`kx', abs(`wald'))
di as txt _col(3) "{cmd:Wald Test}" _col(21) "=" %12.4f as res `wald' _col(37) "|" _col(41) as txt "P-Value > {cmd:Chi2}(" as res `kx' ")" _col(65) "=" %12.4f as res `waldp'
di as txt _col(3) "{cmd:F-Test}" _col(21) "=" %12.4f as res `f' _col(37) "|" _col(41) as txt "P-Value > {cmd:F}(" as res `kx' " , " `DF' ")" _col(65) "=" %12.4f as res `fp'
di as txt _col(2) "(Buse 1973) R2" _col(21) "=" %12.4f as res `r2bu' _col(37) "|" as txt _col(41) "Raw Moments R2" _col(65) "=" %12.4f as res `r2raw'
ereturn scalar r2bu =`r2bu'
ereturn scalar r2bu_a=`r2bu_a'
ereturn scalar f =`f'
ereturn scalar fp=`fp'
ereturn scalar wald =`wald'
ereturn scalar waldp=`waldp'
di as txt _col(2) "(Buse 1973) R2 Adj" _col(21) "=" %12.4f as res `r2bu_a' _col(37) "|" as txt _col(41) "Raw Moments R2 Adj" _col(65) "=" %12.4f as res `r2raw_a'
di as txt _col(3) "Root MSE (Sigma)" _col(21) "=" %12.4f as res `Sigo' as txt _col(37) "|" _col(41) "Log Likelihood Function" _col(65) "=" %12.4f as res `llf'
di _dup(78) "-"
di as txt "- {cmd:R2h}=" %7.4f as res `r2h' _col(17) as txt "{cmd:R2h Adj}=" as res %7.4f `r2h_a' as txt _col(34) "{cmd:F-Test} =" %8.2f as res `fh' _col(51) as txt "P-Value > F(" as res `kx' " , " `DF' ")" _col(72) %5.4f as res `fhp'
if `r2v'<1 {
di as txt "- {cmd:R2v}=" %7.4f as res `r2v' _col(17) as txt "{cmd:R2v Adj}=" as res %7.4f `r2v_a' as txt _col(34) "{cmd:F-Test} =" %8.2f as res `fv' _col(51) as txt "P-Value > F(" as res `kx' " , " `DF' ")" _col(72) %5.4f as res `fvp'
ereturn scalar r2v=`r2v'
ereturn scalar r2v_a=`r2v_a'
ereturn scalar fv=`fv'
ereturn scalar fvp=`fvp'
 }
ereturn scalar r2raw =`r2raw'
ereturn scalar r2raw_a=`r2raw_a'
ereturn scalar llf =`llf'
ereturn scalar sig=`Sigo'
ereturn scalar r2h=`r2h'
ereturn scalar r2h_a=`r2h_a'
ereturn scalar fh=`fh'
ereturn scalar fhp=`fhp'
ereturn scalar kb=`kb'
ereturn scalar kx=`kx'
ereturn scalar DF=`DF'
ereturn display
matrix `b'=e(b)
matrix `V'=e(V)
matrix `Bx'=e(b)
tempname lmhcw1 cwdf1 lmhcw1p lmhcw2 cwdf2 lmhcw2p LMh_cwx mh vh h Q
local N=`Nn'
qui tsset `Time'
tempvar Yh Yh2 U2 E E2 E3 E4
qui gen `E' =`Ue_ML' if `touse'
qui gen `U2' =`Ue_ML'^2/`Sig2n' if `touse'
qui gen `Yh'=`Yh_ML' if `touse'
qui regress `U2' `Yh' if `touse'
scalar `lmhcw1'= e(mss)/2
scalar `cwdf1'= e(df_m)
scalar `lmhcw1p'= chi2tail(`cwdf1', abs(`lmhcw1'))
qui regress `U2' `xvar' if `touse'
scalar `lmhcw2'= e(mss)/2
scalar `cwdf2'= e(df_m)
scalar `lmhcw2p'= chi2tail(`cwdf2', abs(`lmhcw2'))
di
di _dup(78) "{bf:{err:=}}"
di as txt "{bf:{err:*** OLS Heteroscedasticity Cook-Weisberg Test}}"
di _dup(78) "{bf:{err:=}}"
di as txt "{bf: Ho: Homoscedasticity - Ha: Heteroscedasticity}"
di _dup(78) "-"
qui tsset `Time'
di as txt "- Cook-Weisberg LM Test  E2/Sig2 = Yh" _col(40) "=" as res %9.4f `lmhcw1' _col(53) as txt " P-Value > Chi2(" `cwdf1' ")" _col(73) as res %5.4f `lmhcw1p'
di as txt "- Cook-Weisberg LM Test  E2/Sig2 = X" _col(40) "=" as res %9.4f `lmhcw2' _col(53) as txt " P-Value > Chi2(" `cwdf2' ")" _col(73) as res %5.4f `lmhcw2p'
di _dup(78) "-"
di as res "*** Single Variable Tests:"
local nx : word count `xvar'
qui regress `yvar' `xvar' if `touse'
tokenize `xvar'
local i 1
while `i' <= `nx' {
qui regress `U2' ``i'' if `touse'
scalar `LMh_cwx'`i' = e(mss)/2
ereturn scalar lmhcwx`i'= `LMh_cwx'`i'
ereturn scalar lmhcwxp`i'= chi2tail(1 , abs(`LMh_cwx'`i'))
di as txt "- Cook-Weisberg LM Test: E2/Sig2 = " "``i''" _col(40) "=" as res %9.4f e(lmhcwx`i') _col(53) as txt " P-Value > Chi2(1)" _col(73) as res %5.4f e(lmhcwxp`i')
local i =`i'+1
 }
di _dup(78) "-"
di as res "*** Single Variable Tests:"
foreach i of local xvar {
qui cap drop `ht'`i'
tempvar `ht'`i'
qui egen `ht'`i' = rank(`i') if `touse'
qui summ `ht'`i' if `touse'
scalar `mh' = r(mean)
scalar `vh' = r(Var)
qui summ `ht'`i' [aw=`E'^2] if `touse' , meanonly
scalar `h' = r(mean)
scalar `Q'`i' = (`N'^2 / (2*(`N'-1))) * (`h'-`mh')^2/`vh'
ereturn scalar lmhq_`i'= `Q'`i'
ereturn scalar lmhqp_`i'= chi2tail(1, abs(`Q'`i'))
di as txt "- King LM Test: " "`i'" _col(40) "=" as res %9.4f `Q'`i' _col(53) as txt " P-Value > Chi2(1)" _col(73) as res %5.4f chi2tail(1, abs(`Q'`i'))
 }
di _dup(78) "-"
ereturn scalar lmhcw1= `lmhcw1'
ereturn scalar lmhcw1p= `lmhcw1p'
ereturn scalar lmhcw2= `lmhcw2'
ereturn scalar lmhcw2p= `lmhcw2p'
qui tsset `TimeN'
end

program define yxregeq
version 10.0
 syntax varlist
tempvar `varlist'
gettoken yvar xvar : varlist
local LEN=length("`yvar'")
local LEN=`LEN'+3
di "{p 2 `LEN' 5}" as res "{bf:`yvar'}" as txt " = " "
local kx : word count `xvar'
local i=1
 while `i'<=`kx' {
local X : word `i' of `xvar'
 if `i'<`kx' {
di " " as res " {bf:`X'}" _c
di as txt " + " _c
 }
 if `i'==`kx' {
di " " as res "{bf:`X'}"
 }
local i=`i'+1
 }
di "{p_end}"
di as txt "{hline 78}"
end