*! lmhhp 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 lmhhp , eclass version 11.0 syntax varlist [if] [in] , [NOCONStant coll] gettoken yvar xvar : varlist qui marksample touse qui markout `touse' `varlist' , strok 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 "`xvar'"=="" { di as err " {bf:Independent Variable(s) must be combined with Dependent Variable}" exit } tempvar DE DF1 E E2 EE Eo Wi ht L LDE LE LnE2 LYh LYh2 SSE Time wald weit tempvar Wio WS X0 Yb Yh Yh2 Yhb Yho YY YYm YYv Yh_ML Ue_ML TimeN tempname b B Beta Bx Cov D E E1 Eo F IPhi J K OM P Phi Pm Q S X X0 tempname Sig2 Sig2o Sig2o1 VP W W1 W2 Wald We Wi Wi1 Wio WY tempname mh SST1 SST2 V Y Yh Nn N kx DF kb SSEo llf Sig2n 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) 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 scalar Nn=_N ereturn display matrix `b'=e(b) matrix `V'=e(V) matrix `Bx'=e(b) tempname lmhhp1 lmhhp1p lmhhp2 lmhhp2p lmhhp3 lmhhp3p local N=`Nn' qui tsset `Time' tempvar Yh Yh2 U2 E E2 E3 E4 qui gen `U2' =`Ue_ML'^2/`Sig2n' if `touse' qui gen `Yh'=`Yh_ML' if `touse' qui gen `Yh2'=`Yh_ML'^2 if `touse' qui gen `LYh2'=ln(`Yh2') if `touse' qui gen `E' =`Ue_ML' if `touse' qui gen `E2'=`Ue_ML'^2 if `touse' qui regress `E2' `Yh' if `touse' scalar `lmhhp1'=e(N)*e(r2) scalar `lmhhp1p'= chi2tail(1, abs(`lmhhp1')) qui regress `E2' `Yh2' if `touse' scalar `lmhhp2'=e(N)*e(r2) scalar `lmhhp2p'= chi2tail(1, abs(`lmhhp2')) qui regress `E2' `LYh2' if `touse' scalar `lmhhp3'=e(N)*e(r2) scalar `lmhhp3p'= chi2tail(1, abs(`lmhhp3')) di _dup(78) "{bf:{err:=}}" di as txt "{bf:{err:*** OLS Heteroscedasticity Hall-Pagan Test}}" di _dup(78) "{bf:{err:=}}" di as txt "{bf: Ho: Homoscedasticity - Ha: Heteroscedasticity}" di _dup(78) "-" di as txt "- Hall-Pagan LM Test: E2 = Yh" _col(40) "=" as res %9.4f `lmhhp1' _col(53) as txt " P-Value > Chi2(1)" _col(73) as res %5.4f `lmhhp1p' di as txt "- Hall-Pagan LM Test: E2 = Yh2" _col(40) "=" as res %9.4f `lmhhp2' _col(53) as txt " P-Value > Chi2(1)" _col(73) as res %5.4f `lmhhp2p' di as txt "- Hall-Pagan LM Test: E2 = LYh2" _col(40) "=" as res %9.4f `lmhhp3' _col(53) as txt " P-Value > Chi2(1)" _col(73) as res %5.4f `lmhhp3p' di _dup(78) "-" ereturn scalar lmhhp1= `lmhhp1' ereturn scalar lmhhp1p= `lmhhp1p' ereturn scalar lmhhp2= `lmhhp2' ereturn scalar lmhhp2p= `lmhhp2p' ereturn scalar lmhhp3= `lmhhp3' ereturn scalar lmhhp3p= `lmhhp3p' 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