help: lmhhp dialog:

Title

lmhhp: OLS Heteroscedasticity Hall-Pagan Test

Table of Contents

Syntax

Description

Options

Saved Results

References

*** Examples

Authors

Syntax

lmhhp depvar indepvars [if] [in] , [ noconstant coll ]

Description

lmhhp computes OLS Heteroscedasticity Hall-Pagan Test

Ho: Homoscedasticity - Ha: Heteroscedasticity
- Hall-Pagan LM Test: E2 = Yh
- Hall-Pagan LM Test: E2 = Yh2
- Hall-Pagan LM Test: E2 = LYh2

R2, R2 Adjusted, and F-Test, are obtained from 4 ways:

1- (Buse 1973) R2.

2- Raw Moments R2.

3- squared correlation between predicted (Yh) and observed dependent variable (Y).

4- Ratio of variance between predicted (Yh) and observed dependent variable (Y).

- Adjusted R2: R2_a=1-(1-R2)*(N-1)/(N-K-1).

- F-Test=R2/(1-R2)*(N-K-1)/(K).

Options

noconstant Exclude Constant Term from Equation

coll keep collinear variables; default is removing collinear variables.

Saved Results

lmhhp saves the following in e():

*** Heteroscedasticity Tests:
e(lmhhp1) Hall-Pagan LM Test
e(lmhhp1p) Hall-Pagan LM Test P-Value
e(lmhhp2) Hall-Pagan LM Test
e(lmhhp2p) Hall-Pagan LM Test P-Value
e(lmhhp3) Hall-Pagan LM Test
e(lmhhp3p) Hall-Pagan LM Test P-Value

References

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

Greene, William (1993)
"Econometric Analysis",
2nd ed., Macmillan Publishing Company Inc., New York, USA; 616-618.

Greene, William (2007)
"Econometric Analysis",
6th ed., Upper Saddle River, NJ: Prentice-Hall; 387-388.

Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988)
"Introduction To The Theory And Practice Of Econometrics",
2nd ed., John Wiley & Sons, Inc., New York, USA.

Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985)
"The Theory and Practice of Econometrics",
2nd ed., John Wiley & Sons, Inc., New York, USA; 615.

Kmenta, Jan (1986)
"Elements of Econometrics",
2nd ed., Macmillan Publishing Company, Inc., New York, USA; 718.

Pagan, Adrian .R. & Hall, D. (1983)
"Diagnostic Tests as Residual Analysis",
Econometric Reviews, Vol.2, No.2,. 159-218.

Examples

clear all

sysuse lmhhp.dta , clear

db lmhhp

lmhhp y x1 x2

. clear all
. sysuse lmhhp.dta , clear
. lmhhp y x1 x2

==============================================================================
* Ordinary Least Squares (OLS)
==============================================================================
y = x1 + x2
------------------------------------------------------------------------------
Sample Size = 17
Wald Test = 273.3662 | P-Value > Chi2(2) = 0.0000
F-Test = 136.6831 | P-Value > F(2 , 14) = 0.0000
(Buse 1973) R2 = 0.9513 | Raw Moments R2 = 0.9986
(Buse 1973) R2 Adj = 0.9443 | Raw Moments R2 Adj = 0.9984
Root MSE (Sigma) = 5.5634 | Log Likelihood Function = -51.6471
------------------------------------------------------------------------------
- R2h= 0.9513 R2h Adj= 0.9443 F-Test = 136.68 P-Value > F(2 , 14) 0.0000
- R2v= 0.9513 R2v Adj= 0.9443 F-Test = 136.68 P-Value > F(2 , 14) 0.0000
------------------------------------------------------------------------------
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 Heteroscedasticity Hall-Pagan Test
==============================================================================
Ho: Homoscedasticity - Ha: Heteroscedasticity
------------------------------------------------------------------------------
- Hall-Pagan LM Test: E2 = Yh = 2.4946 P-Value > Chi2(1) 0.1142
- Hall-Pagan LM Test: E2 = Yh2 = 2.6579 P-Value > Chi2(1) 0.1030
- Hall-Pagan LM Test: E2 = LYh2 = 2.3031 P-Value > Chi2(1) 0.1291
------------------------------------------------------------------------------

Authors

- 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

LMHHP Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2014)

LMHHP: "Stata Module to Compute OLS Heteroscedasticity Hall-Pagan 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
---------------------------------------------------------------------------
* (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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