help: lmhnlsur dialog:

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 - 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

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).