help: lmhcw2 dialog:

Title

lmhcw2: 2SLS-IV Heteroscedasticity Cook-Weisberg Test

Table of Contents

Syntax

Description

Model

GMM Options

Other Options

Saved Results

References

*** Examples

Authors

Syntax

lmhcw2 depvar indepvars (endog = inst) [if] [in] ,

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

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

Description

lmhcw2 computes 2SLS-IV Heteroscedasticity Cook-Weisberg Test for instrumental variables regression models, via 2sls, liml, melo, gmm, and kclass.

Ho: Homoscedasticity - Ha: Heteroscedasticity
- Cook-Weisberg LM Test E2/Sig2 = Yh
- Cook-Weisberg LM Test E2/Sig2 = X
*** Single Variable Tests:
- Cook-Weisberg LM Test: E2/Sig2 = xi
*** Single Variable Tests:
- King LM Test: xi

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 lmhcw2 is including Constant Term in both RHS and Instrumental Equations

Saved Results

lmhcw2 saves the following in e():

*** Heteroscedasticity Tests:
e(lmhcw1) Cook-Weisberg LM Test E2/Sig2n = Yh
e(lmhcw1p) Cook-Weisberg LM Test E2/Sig2n = Yh P-Value
e(lmhcw2) Cook-Weisberg LM Test E2/Sig2n = X
e(lmhcw2p) Cook-Weisberg LM Test E2/Sig2n = X P-Value
e(lmhcw_xi) Cook-Weisberg LM Single Variable Test
e(lmhcwp_xi) Cook-Weisberg LM Single Variable Test P-Value
e(lmhq_xi) King LM Single Variable Test
e(lmhqp_xi) King LM Single Variable Test P-Value

References

Cook, R.D., & S. Weisberg (1983)
"Diagnostics for Heteroscedasticity in Regression",
Biometrica 70; 1-10.

Harvey, Andrew (1990)
"The Econometric Analysis of Time Series",
2nd edition, MIT Press, Cambridge, Massachusetts.

Maddala, G. (1992)
"Introduction to Econometrics",
2nd ed., Macmillan Publishing Company, New York, USA.

Szroeter, J. (1978)
"A Class of Parametric Tests for Heteroscedasticity in Linear Econometric Models",
Econometrica, 46; 1311-28.

Examples

clear all

sysuse lmhcw2.dta , clear

db lmhcw2

lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(melo)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(liml)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(fuller) kf(0.5)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(kclass) kc(0.5)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(white)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(bart)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(dan)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(nwest)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(parzen)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(quad)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tent)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(trunc)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeym)
lmhcw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeyn)

. clear all
. sysuse lmhcw2.dta , clear
. lmhcw2 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
R2 (R-Squared) = 0.8592 | Raw Moments R2 = 0.9954
R2a (Adjusted R2) = 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 Heteroscedasticity Cook-Weisberg Test - Model= (2sls)
==============================================================================
Ho: Homoscedasticity - Ha: Heteroscedasticity
------------------------------------------------------------------------------
- Cook-Weisberg LM Test E2/Sig2 = Yh = 4.7571 P-Value > Chi2(1) 0.0292
- Cook-Weisberg LM Test E2/Sig2 = X = 7.2960 P-Value > Chi2(3) 0.0630
------------------------------------------------------------------------------
*** Single Variable Tests:
- Cook-Weisberg LM Test: E2/Sig2 = y2 = 3.4669 P-Value > Chi2(1) 0.0626
- Cook-Weisberg LM Test: E2/Sig2 = x1 = 2.9615 P-Value > Chi2(1) 0.0853
- Cook-Weisberg LM Test: E2/Sig2 = x2 = 5.3550 P-Value > Chi2(1) 0.0207
------------------------------------------------------------------------------
*** Single Variable Tests:
- King LM Test: y2 = 3.1721 P-Value > Chi2(1) 0.0749
- King LM Test: x1 = 2.4893 P-Value > Chi2(1) 0.1146
- King LM Test: x2 = 5.8450 P-Value > Chi2(1) 0.0156
------------------------------------------------------------------------------

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

LMHCW2 Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2015)

LMHCW2: "Stata Module to Compute 2SLS-IV Heteroscedasticity Cook-Weisberg Test"

Online Help:

* Heteroscedasticity Tests:

* (1) (OLS) * Ordinary Least Squares Tests:
lmhreg OLS Heteroscedasticity Tests
lmharch OLS Heteroscedasticity Engle (ARCH) Test
lmhcw OLS Heteroscedasticity Cook-Weisberg Test
lmhgl OLS Heteroscedasticity Glejser Test
lmhharv OLS Heteroscedasticity Harvey Test
lmhhp OLS Heteroscedasticity Hall-Pagan Test
lmhmss OLS Heteroscedasticity Machado-Santos-Silva Test
lmhwald OLS Heteroscedasticity Wald Test
lmhwhite OLS Heteroscedasticity White Test
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* (2) (NLS) * Non Linear Least Squares Tests:
lmhnls Non Linear Least Squares Heteroscedasticity Tests
lmharchnl NLS Heteroscedasticity Engle (ARCH) Test
lmhcwnl NLS Heteroscedasticity Cook-Weisberg Test
lmhglnl NLS Heteroscedasticity Glejser Test
lmhharvnl NLS Heteroscedasticity Harvey Test
lmhhpnl NLS Heteroscedasticity Hall-Pagan Test
lmhmssnl NLS Heteroscedasticity Machado-Santos-Silva Test
lmhwaldnl NLS Heteroscedasticity Wald Test
lmhwhitenl NLS Heteroscedasticity White Test
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* (3) (MLE) * Maximum Likelihood Estimation Tests:
lmhmle MLE Heteroscedasticity Tests
lmharchml MLE Heteroscedasticity Engle (ARCH) Test
lmhcwml MLE Heteroscedasticity Cook-Weisberg Test
lmhglml MLE Heteroscedasticity Glejser Test
lmhharvml MLE Heteroscedasticity Harvey Test
lmhhpml MLE Heteroscedasticity Hall-Pagan Test
lmhmssml MLE Heteroscedasticity Machado-Santos-Silva Test
lmhwaldml MLE Heteroscedasticity Wald Test
lmhwhiteml MLE Heteroscedasticity White Test
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* (4) (2SLS-IV) * Two-Stage Least Squares & Instrumental Variables Tests:
lmhreg2 2SLS-IV Heteroscedasticity Tests
lmharch2 2SLS-IV Heteroscedasticity Engle (ARCH) Test
lmhcw2 2SLS-IV Heteroscedasticity Cook-Weisberg Test
lmhgl2 2SLS-IV Heteroscedasticity Glejser Test
lmhharv2 2SLS-IV Heteroscedasticity Harvey Test
lmhhp2 2SLS-IV Heteroscedasticity Hall-Pagan Test
lmhmss2 2SLS-IV Heteroscedasticity Machado-Santos-Silva Test
lmhwald2 2SLS-IV Heteroscedasticity Wald Test
lmhwhite2 2SLS-IV Heteroscedasticity White Test
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* (5) Panel Data Tests:
lmhxt Panel Data Heteroscedasticity Tests
lmhgwxt Panel Data Groupwise Heteroscedasticity Tests
ghxt Panel Groupwise Heteroscedasticity Tests
lmhlmxt Panel Data Groupwise Heteroscedasticity Breusch-Pagan LM Test
lmhlrxt Panel Data Groupwise Heteroscedasticity Greene LR Test
lmharchxt Panel Data Heteroscedasticity Engle (ARCH) Test
lmhcwxt Panel Data Heteroscedasticity Cook-Weisberg Test
lmhglxt Panel Data Heteroscedasticity Glejser Test
lmhharvxt Panel Data Heteroscedasticity Harvey Test
lmhhpxt Panel Data Heteroscedasticity Hall-Pagan Test
lmhmssxt Panel Data Heteroscedasticity Machado-Santos-Silva Test
lmhwaldxt Panel Data Heteroscedasticity Wald Test
lmhwhitext Panel Data Heteroscedasticity White Test
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* (6) (3SLS-SUR) * Simultaneous Equations Tests:
lmareg3 (3SLS-SUR) Overall System Autocorrelation Tests
lmhreg3 (3SLS-SUR) Overall System Heteroscedasticity Tests
lmnreg3 (3SLS-SUR) Overall System Non Normality Tests
lmcovreg3 (3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix
r2reg3 (3SLS-SUR) Overall System R2, F-Test, and Chi2-Test
diagreg3 (3SLS-SUR) Overall System ModeL Selection Diagnostic Criteria
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* (7) (SEM-FIML) * Structural Equation Modeling Tests:
lmasem (SEM-FIML) Overall System Autocorrelation Tests
lmhsem (SEM-FIML) Overall System Heteroscedasticity Tests
lmnsem (SEM-FIML) Overall System Non Normality Tests
lmcovsem (SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test
r2sem (SEM-FIML) Overall System R2, F-Test, and Chi2-Test
diagsem (SEM-FIML) Overall System ModeL Selection Diagnostic Criteria
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* (8) (NL-SUR) * Non Linear Seemingly Unrelated Regression Tests:
lmanlsur (NL-SUR) Overall System Autocorrelation Tests
lmhnlsur (NL-SUR) Overall System Heteroscedasticity Tests
lmnnlsur (NL-SUR) Overall System Non Normality Tests
lmcovnlsur (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test
r2nlsur (NL-SUR) Overall System R2, F-Test, and Chi2-Test
diagnlsur (NL-SUR) Overall System ModeL Selection Diagnostic Criteria
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* (9) (VAR) * Vector Autoregressive Model Tests:
lmavar (VAR) Overall System Autocorrelation Tests
lmhvar (VAR) Overall System Heteroscedasticity Tests
lmnvar (VAR) Overall System Non Normality Tests
lmcovvar (VAR) Breusch-Pagan Diagonal Covariance Matrix Test
r2var (VAR) Overall System R2, F-Test, and Chi2-Test
diagvar (VAR) Overall System ModeL Selection Diagnostic Criteria
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