help: lmhgl dialog:

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 - 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

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).