{smcl} {hline} {cmd:help: {helpb lmhhpnl}}{space 50} {cmd:dialog:} {bf:{dialog lmhhpnl}} {hline} {bf:{err:{dlgtab:Title}}} {bf:lmhhpnl: NLS Heteroscedasticity Hall-Pagan Test} {marker 00}{bf:{err:{dlgtab:Table of Contents}}} {p 4 8 2} {p 5}{helpb lmhhpnl##01:Syntax}{p_end} {p 5}{helpb lmhhpnl##02:Options}{p_end} {p 5}{helpb lmhhpnl##03:Description}{p_end} {p 5}{helpb lmhhpnl##04:Saved Results}{p_end} {p 5}{helpb lmhhpnl##05:References}{p_end} {p 1}*** {helpb lmhhpnl##06:Examples}{p_end} {p 5}{helpb lmhhpnl##07:Authors}{p_end} {marker 01}{bf:{err:{dlgtab:Syntax}}} {p 3 5 6} {cmd:lmhhpnl} {depvar} {ifin} {weight} , {opt fun(expression)}{p_end} {p 5 5 6} {err: [} {opt in:itial(init_val)} {opth var:iables(varlist)} {cmd:vce(}{it:{help nl##vcetype:vcetype}} {err:]}{p_end} {marker 02}{bf:{err:{dlgtab:Options}}} {synoptset 16}{...} {col 3}{opt depvar}{col 24}Dependent Variable {col 3}{opth var:iables(varlist)}{col 24}Independent Variables in model {col 3}{opt in:itial(init_val)}{col 24}Parameters (initial) Starting Values {col 3}{opt fun(expression)}{col 24}RHS Mathematical Expression {syntab :SE/Robust} {synopt :{cmd:vce(}{it:{help nl##vcetype:vcetype}}{cmd:)}}{it:vcetype} may be {opt gnr}, {opt r:obust}, {opt cl:uster} {it:clustvar}, {opt boot:strap}, {opt jack:knife}, {opt hac} {it:kernel}, {opt hc2}, or {opt hc3} {p_end} {marker 03}{bf:{err:{dlgtab:Description}}} {pstd} {cmd:lmhhpnl} computes Non Linear Least Squares 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 {marker 04}{bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:lmhhpnl} saves the following in {cmd:e()}: {col 4}{cmd:e(lmhhpnl1)}{col 20}Hall-Pagan LM Test {col 4}{cmd:e(lmhhpnl1p)}{col 20}Hall-Pagan LM Test P-Value {col 4}{cmd:e(lmhhpnl2)}{col 20}Hall-Pagan LM Test {col 4}{cmd:e(lmhhpnl2p)}{col 20}Hall-Pagan LM Test P-Value {col 4}{cmd:e(lmhhpnl3)}{col 20}Hall-Pagan LM Test {col 4}{cmd:e(lmhhpnl3p)}{col 20}Hall-Pagan LM Test P-Value {marker 05}{bf:{err:{dlgtab:References}}} {p 4 8 2}Damodar Gujarati (1995) {cmd: "Basic Econometrics"} {it:3rd Edition, McGraw Hill, New York, USA}. {p 4 8 2}Greene, William (1993) {cmd: "Econometric Analysis",} {it:2nd ed., Macmillan Publishing Company Inc., New York, USA}; 616-618. {p 4 8 2}Greene, William (2007) {cmd: "Econometric Analysis",} {it:6th ed., Upper Saddle River, NJ: Prentice-Hall}; 387-388. {p 4 8 2}Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988) {cmd: "Introduction To The Theory And Practice Of Econometrics",} {it:2nd ed., John Wiley & Sons, Inc., New York, USA}. {p 4 8 2}Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985) {cmd: "The Theory and Practice of Econometrics",} {it:2nd ed., John Wiley & Sons, Inc., New York, USA}; 615. {p 4 8 2}Kmenta, Jan (1986) {cmd: "Elements of Econometrics",} {it: 2nd ed., Macmillan Publishing Company, Inc., New York, USA}; 718. {p 4 8 2}Pagan, Adrian .R. & Hall, D. (1983) {cmd: "Diagnostic Tests as Residual Analysis",} {it:Econometric Reviews, Vol.2, No.2,}. 159-218. {p 4 8 2}William E. Griffiths, R. Carter Hill and George G. Judge (1993) {cmd: "Learning and Practicing Econometrics",} {it:John Wiley & Sons, Inc., New York, USA}; 721-725. {marker 06}{bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse lmhhpnl.dta , clear} {stata gen ly=ln(y)} {stata "lmhhpnl ly , fun({B0}+{B1}*k+{B2}*l)"} {stata "lmhhpnl ly, fun({B}-({H}/{R})*ln({D}*l^(-{R})+(1-{D})*k^(-{R}))) in(B 1 H 1 R 1 D 0.5)"} {hline} . clear all . sysuse lmhhpnl.dta , clear . gen ly=ln(y) . lmhhpnl ly, fun({B}-({H}/{R})*ln({D}*l^(-{R})+(1-{D})*k^(-{R}))) in(B 1 H 1 R 1 D 0.5) Source | SS df MS -------------+------------------------------ Number of obs = 30 Model | 59.529144 3 19.843048 R-squared = 0.9713 Residual | 1.7610762 26 .0677337 Adj R-squared = 0.9680 -------------+------------------------------ Root MSE = .260257 Total | 61.2902202 29 2.11345587 Res. dev. = .0781436 ------------------------------------------------------------------------------ ly | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- /B | .1244908 .0783444 1.59 0.124 -.0365483 .28553 /H | 1.012594 .0506832 19.98 0.000 .9084134 1.116775 /R | 3.010934 2.323389 1.30 0.206 -1.764861 7.786728 /D | .3366735 .1361129 2.47 0.020 .0568895 .6164575 ------------------------------------------------------------------------------ Parameter B taken as constant term in model & ANOVA table ============================================================================== *** NLS Heteroscedasticity Hall-Pagan Test ============================================================================== Ho: Homoscedasticity - Ha: Heteroscedasticity ------------------------------------------------------------------------------ - Hall-Pagan LM Test: E2 = Yh = 0.8561 P-Value > Chi2(1) 0.3548 - Hall-Pagan LM Test: E2 = Yh2 = 0.6747 P-Value > Chi2(1) 0.4114 - Hall-Pagan LM Test: E2 = LYh2 = 0.4489 P-Value > Chi2(1) 0.5028 ------------------------------------------------------------------------------ {marker 07}{bf:{err:{dlgtab:Authors}}} - {hi:Emad Abd Elmessih Shehata} {hi:Professor (PhD Economics)} {hi:Agricultural Research Center - Agricultural Economics Research Institute - Egypt} {hi:Email: {browse "mailto:emadstat@hotmail.com":emadstat@hotmail.com}} {hi:WebPage at IDEAS:{col 27}{browse "http://ideas.repec.org/f/psh494.html"}} {hi:WebPage at EconPapers:{col 27}{browse "http://econpapers.repec.org/RAS/psh494.htm"}} - {hi:Sahra Khaleel A. Mickaiel} {hi:Professor (PhD Economics)} {hi:Cairo University - Faculty of Agriculture - Department of Economics - Egypt} {hi:Email: {browse "mailto:sahra_atta@hotmail.com":sahra_atta@hotmail.com}} {hi:WebPage at IDEAS:{col 27}{browse "http://ideas.repec.org/f/pmi520.html"}} {hi:WebPage at EconPapers:{col 27}{browse "http://econpapers.repec.org/RAS/pmi520.htm"}} {bf:{err:{dlgtab:LMHHPNL Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2014)}{p_end} {p 1 10 1}{cmd:LMHHPNL: "Stata Module to Compute NLS Heteroscedasticity Hall-Pagan Test"} {title:Online Help:} {bf:{err:* Heteroscedasticity Tests:}} {bf:{err:* (1) (OLS) * Ordinary Least Squares Tests:}} {helpb lmhreg}{col 12}OLS Heteroscedasticity Tests {helpb lmharch}{col 12}OLS Heteroscedasticity Engle (ARCH) Test {helpb lmhcw}{col 12}OLS Heteroscedasticity Cook-Weisberg Test {helpb lmhgl}{col 12}OLS Heteroscedasticity Glejser Test {helpb lmhharv}{col 12}OLS Heteroscedasticity Harvey Test {helpb lmhhp}{col 12}OLS Heteroscedasticity Hall-Pagan Test {helpb lmhmss}{col 12}OLS Heteroscedasticity Machado-Santos-Silva Test {helpb lmhwald}{col 12}OLS Heteroscedasticity Wald Test {helpb lmhwhite}{col 12}OLS Heteroscedasticity White Test --------------------------------------------------------------------------- {bf:{err:* (2) (NLS) * Non Linear Least Squares Tests:}} {helpb lmhnls}{col 12}Non Linear Least Squares Heteroscedasticity Tests {helpb lmharchnl}{col 12}NLS Heteroscedasticity Engle (ARCH) Test {helpb lmhcwnl}{col 12}NLS Heteroscedasticity Cook-Weisberg Test {helpb lmhglnl}{col 12}NLS Heteroscedasticity Glejser Test {helpb lmhharvnl}{col 12}NLS Heteroscedasticity Harvey Test {helpb lmhhpnl}{col 12}NLS Heteroscedasticity Hall-Pagan Test {helpb lmhmssnl}{col 12}NLS Heteroscedasticity Machado-Santos-Silva Test {helpb lmhwaldnl}{col 12}NLS Heteroscedasticity Wald Test {helpb lmhwhitenl}{col 12}NLS Heteroscedasticity White Test --------------------------------------------------------------------------- {bf:{err:* (3) (MLE) * Maximum Likelihood Estimation Tests:}} {helpb lmhmle}{col 12}MLE Heteroscedasticity Tests {helpb lmharchml}{col 12}MLE Heteroscedasticity Engle (ARCH) Test {helpb lmhcwml}{col 12}MLE Heteroscedasticity Cook-Weisberg Test {helpb lmhglml}{col 12}MLE Heteroscedasticity Glejser Test {helpb lmhharvml}{col 12}MLE Heteroscedasticity Harvey Test {helpb lmhhpml}{col 12}MLE Heteroscedasticity Hall-Pagan Test {helpb lmhmssml}{col 12}MLE Heteroscedasticity Machado-Santos-Silva Test {helpb lmhwaldml}{col 12}MLE Heteroscedasticity Wald Test {helpb lmhwhiteml}{col 12}MLE Heteroscedasticity White Test --------------------------------------------------------------------------- {bf:{err:* (4) (2SLS-IV) * Two-Stage Least Squares & Instrumental Variables Tests:}} {helpb lmhreg2}{col 12}2SLS-IV Heteroscedasticity Tests {helpb lmharch2}{col 12}2SLS-IV Heteroscedasticity Engle (ARCH) Test {helpb lmhcw2}{col 12}2SLS-IV Heteroscedasticity Cook-Weisberg Test {helpb lmhgl2}{col 12}2SLS-IV Heteroscedasticity Glejser Test {helpb lmhharv2}{col 12}2SLS-IV Heteroscedasticity Harvey Test {helpb lmhhp2}{col 12}2SLS-IV Heteroscedasticity Hall-Pagan Test {helpb lmhmss2}{col 12}2SLS-IV Heteroscedasticity Machado-Santos-Silva Test {helpb lmhwald2}{col 12}2SLS-IV Heteroscedasticity Wald Test {helpb lmhwhite2}{col 12}2SLS-IV Heteroscedasticity White Test --------------------------------------------------------------------------- {bf:{err:* (5) Panel Data Tests:}} {helpb lmhxt}{col 12}Panel Data Heteroscedasticity Tests {helpb lmhgwxt}{col 12}Panel Data Groupwise Heteroscedasticity Tests {helpb ghxt}{col 12}Panel Groupwise Heteroscedasticity Tests {helpb lmhlmxt}{col 12}Panel Data Groupwise Heteroscedasticity Breusch-Pagan LM Test {helpb lmhlrxt}{col 12}Panel Data Groupwise Heteroscedasticity Greene LR Test {helpb lmharchxt}{col 12}Panel Data Heteroscedasticity Engle (ARCH) Test {helpb lmhcwxt}{col 12}Panel Data Heteroscedasticity Cook-Weisberg Test {helpb lmhglxt}{col 12}Panel Data Heteroscedasticity Glejser Test {helpb lmhharvxt}{col 12}Panel Data Heteroscedasticity Harvey Test {helpb lmhhpxt}{col 12}Panel Data Heteroscedasticity Hall-Pagan Test {helpb lmhmssxt}{col 12}Panel Data Heteroscedasticity Machado-Santos-Silva Test {helpb lmhwaldxt}{col 12}Panel Data Heteroscedasticity Wald Test {helpb lmhwhitext}{col 12}Panel Data Heteroscedasticity White Test --------------------------------------------------------------------------- {bf:{err:* (6) (3SLS-SUR) * Simultaneous Equations Tests:}} {helpb lmareg3}{col 12}(3SLS-SUR) Overall System Autocorrelation Tests {helpb lmhreg3}{col 12}(3SLS-SUR) Overall System Heteroscedasticity Tests {helpb lmnreg3}{col 12}(3SLS-SUR) Overall System Non Normality Tests {helpb lmcovreg3}{col 12}(3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix {helpb r2reg3}{col 12}(3SLS-SUR) Overall System R2, F-Test, and Chi2-Test {helpb diagreg3}{col 12}(3SLS-SUR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (7) (SEM-FIML) * Structural Equation Modeling Tests:}} {helpb lmasem}{col 12}(SEM-FIML) Overall System Autocorrelation Tests {helpb lmhsem}{col 12}(SEM-FIML) Overall System Heteroscedasticity Tests {helpb lmnsem}{col 12}(SEM-FIML) Overall System Non Normality Tests {helpb lmcovsem}{col 12}(SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2sem}{col 12}(SEM-FIML) Overall System R2, F-Test, and Chi2-Test {helpb diagsem}{col 12}(SEM-FIML) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (8) (NL-SUR) * Non Linear Seemingly Unrelated Regression Tests:}} {helpb lmanlsur}{col 12}(NL-SUR) Overall System Autocorrelation Tests {helpb lmhnlsur}{col 12}(NL-SUR) Overall System Heteroscedasticity Tests {helpb lmnnlsur}{col 12}(NL-SUR) Overall System Non Normality Tests {helpb lmcovnlsur}{col 12}(NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2nlsur}{col 12}(NL-SUR) Overall System R2, F-Test, and Chi2-Test {helpb diagnlsur}{col 12}(NL-SUR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (9) (VAR) * Vector Autoregressive Model Tests:}} {helpb lmavar}{col 12}(VAR) Overall System Autocorrelation Tests {helpb lmhvar}{col 12}(VAR) Overall System Heteroscedasticity Tests {helpb lmnvar}{col 12}(VAR) Overall System Non Normality Tests {helpb lmcovvar}{col 12}(VAR) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2var}{col 12}(VAR) Overall System R2, F-Test, and Chi2-Test {helpb diagvar}{col 12}(VAR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {psee} {p_end}