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help: lmhgl                                                        dialog: lmhg
> l
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+-------+ ----+ Title +------------------------------------------------------------

lmhgl: OLS Glejser Lagrange Multiplier Heteroscedasticity Test

+--------+ ----+ Syntax +-----------------------------------------------------------

lmhgl depvar indepvars [if] [in] [weight] , [ noconstant vce( vcetype) ]

+---------+ ----+ Options +----------------------------------------------------------

noconstant suppress constant term

SE/Robust vce(vcetype) vcetype may be ols, robust, cluster clustvar, bootstrap, jackknife, hc2, or hc3

+-------------+ ----+ Description +------------------------------------------------------

lmhgl computes Glejser Lagrange Multiplier Heteroscedasticity Test for OLS residuals after regress command.

+---------------+ ----+ Saved Results +----------------------------------------------------

lmhgl saves the following in r():

r(lmh) Glejser IM Test r(lmhp) Glejser IM Test P-Value r(lmhdf) Chi2 Degrees of Freedom

+------------+ ----+ References +-------------------------------------------------------

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

+----------+ ----+ Examples +---------------------------------------------------------

clear all

sysuse lmhgl.dta, clear

db lmhgl

lmhgl y x1 x2

return list -------------------------------------------------------------------------------

. clear all . sysuse lmhgl.dta , clear . lmhgl y1 x1 x2

Source | SS df MS Number of obs = 17 -------------+------------------------------ F( 2, 14) = 136.68 Model | 8460.93712 2 4230.46856 Prob > F = 0.0000 Residual | 433.313039 14 30.9509313 R-squared = 0.9513 -------------+------------------------------ Adj R-squared = 0.9443 Total | 8894.25016 16 555.890635 Root MSE = 5.5634

------------------------------------------------------------------------------ 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 Glejser Lagrange Multiplier Heteroscedasticity Test ============================================================================== Ho: No Heteroscedasticity - Ha: Heteroscedasticity

Glejser LM Test = 3.46075 Degrees of Freedom = 2.0 P-Value > Chi2(2) = 0.17722

+--------+ ----+ Author +-----------------------------------------------------------

Emad Abd Elmessih Shehata Assistant Professor 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

+----------------+ ----+ lmhgl Citation +---------------------------------------------------

Shehata, Emad Abd Elmessih (2012) LMHGL: "Stata Module to Compute Glejser Lagrange Multiplier OLS Heteroscedasticity Test"

Online Help:

lmhharv, lmhwald, lmhgl (if installed).