+-------+ ----+ Title +------------------------------------------------------------
lmhnlsur: Overall System NL-SUR Heteroscedasticity Tests
+--------+ ----+ Syntax +-----------------------------------------------------------
lmhnlsur
+-------------+ ----+ Description +------------------------------------------------------
lmhnlsur computes Overall System NL-SUR Heteroscedasticity tests, after: - (NL-SUR) Non-Linear Seemingly Unrelated Regression Estimation nlsur for sets of equations.
lmhnlsur calculates single Equation Heteroscedasticity: - Engle LM ARCH Test. - Hall-Pagan LM Test: E2 = Yh. - Hall-Pagan LM Test: E2 = Yh2. - Hall-Pagan LM Test: E2 = LYh2.
lmhnlsur calculates overall system Heteroscedasticity: - Breusch-Pagan LM Test. - Likelihood Ratio LR Test. - Wald Test.
+---------------+ ----+ Saved Results +----------------------------------------------------
lmhnlsur saves the following in r():
Scalars
r(lmhlm) Breusch-Pagan LM Test r(lmhlmp) Breusch-Pagan LM Test P-Value r(lmhlr) Likelihood Ratio LR Test r(lmhlrp) Likelihood Ratio LR Test P-Value r(lmhw) Wald Test r(lmhwp) Wald Test P-Value
e(mharch_#) Engle LM ARCH Test for eq.i e(mharchp_#) Engle LM ARCH Test for eq.# P-Value e(lmhhp1_#) Hall-Pagan LM Test E2 = Yh for eq.# e(lmhhp1p_#) Hall-Pagan LM Test E2 = Yh for eq.# P-Value e(lmhhp2_#) Hall-Pagan LM Test E2 = Yh2 for eq.# e(lmhhp2p_#) Hall-Pagan LM Test E2 = Yh2 for eq.# P-Value e(lmhhp3_#) Hall-Pagan LM Test E2 = Yh3 for eq.# e(lmhhp3p_#) Hall-Pagan LM Test E2 = Yh3 for eq.# P-Value
+------------+ ----+ References +-------------------------------------------------------
Greene, William (1993) "Econometric Analysis", 2nd ed., Macmillan Publishing Company Inc., New York, USA.; 492-493.
Greene, William (2007) "Econometric Analysis", 6th ed., Macmillan Publishing Company Inc., New York, USA.; 534-536.
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; 494.
+----------+ ----+ Examples +---------------------------------------------------------
clear all
sysuse lmanlsur.dta , clear
* (1) NL-SUR Model:
nlsur (y1={B10}+{B11}*y2+{B12}*x1+{B13}*x2) (y2={B20}+{B21}*y1+{B22}*x3+{B23}* > x4)
lmhnlsur
return list
* (2) SUR Model:
sureg (y1 y2 x1 x2) (y2 y1 x3 x4)
lmhnlsur
return list
. clear all . sysuse lmhnlsur.dta , clear . nlsur (y1={B10}+{B11}*y2+{B12}*x1+{B13}*x2) (y2={B20}+{B21}*y1+{B22}*x3+{B23} > *x4)
FGNLS regression --------------------------------------------------------------------- Equation | Obs Parms RMSE R-sq Constant ----------------+---------------------------------------------------- 1 y1 | 20 4 125.6433 0.8266 B10 2 y2 | 20 4 19.52663 0.7801 B20 ---------------------------------------------------------------------
------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- /B10 | -68.61381 119.3219 -0.58 0.565 -302.4804 165.2528 /B11 | 6.586666 .6994811 9.42 0.000 5.215708 7.957623 /B12 | .0771727 .0496441 1.55 0.120 -.020128 .1744733 /B13 | -.3247027 .2355698 -1.38 0.168 -.7864111 .1370056 /B20 | 11.0109 24.11753 0.46 0.648 -36.25859 58.28038 /B21 | .137451 .0141117 9.74 0.000 .1097926 .1651094 /B22 | -.0018792 .0116164 -0.16 0.871 -.0246469 .0208885 /B23 | -.0024405 .0142685 -0.17 0.864 -.0304061 .0255252 ------------------------------------------------------------------------------
. lmhnlsur ============================================================================== * NL-SUR System Heteroscedasticity Tests ============================================================================== *** Single Equation Heteroscedasticity Tests: Ho: Homoscedasticity - Ha: Heteroscedasticity
Eq. 1 : Engle LM ARCH Test: E2 = E2_1 = 0.0314 P-Value > Chi2(1) 0.8595 Eq. 1 : Hall-Pagan LM Test: E2 = Yh = 5.2793 P-Value > Chi2(1) 0.0216 Eq. 1 : Hall-Pagan LM Test: E2 = Yh2 = 5.3205 P-Value > Chi2(1) 0.0211 Eq. 1 : Hall-Pagan LM Test: E2 = LYh2 = 4.7232 P-Value > Chi2(1) 0.0298 ------------------------------------------------------------------------------ Eq. 2 : Engle LM ARCH Test: E2 = E2_1 = 0.0238 P-Value > Chi2(1) 0.8774 Eq. 2 : Hall-Pagan LM Test: E2 = Yh = 1.9040 P-Value > Chi2(1) 0.1676 Eq. 2 : Hall-Pagan LM Test: E2 = Yh2 = 1.3369 P-Value > Chi2(1) 0.2476 Eq. 2 : Hall-Pagan LM Test: E2 = LYh2 = 2.3780 P-Value > Chi2(1) 0.1231 ------------------------------------------------------------------------------
*** Overall NL-SUR Heteroscedasticity Tests: Ho: No Overall System Heteroscedasticity
- Breusch-Pagan LM Test = 9.8474 P-Value > Chi2(1) 0.0017 - Likelihood Ratio LR Test = 13.5600 P-Value > Chi2(1) 0.0002 - Wald Test = 19.9578 P-Value > Chi2(1) 0.0000 ------------------------------------------------------------------------------
+--------+ ----+ 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
+-------------------+ ----+ lmhnlsur Citation +------------------------------------------------
Shehata, Emad Abd Elmessih (2012) LMHNLSUR: "Overall System NL-SUR Heteroscedasticity Tests"
Online Help:
lmanlsur, lmhnlsur, lmnnlsur, lmcovnlsur, r2nlsur lmareg3, lmhreg3, lmnreg3, lmcovreg3, r2reg3 lmasem, lmhsem, lmnsem, lmcovsem, r2sem. (if installed).