{smcl} {hline} {cmd:help: {helpb lmhnlsur}}{space 50} {cmd:dialog:} {bf:{dialog lmhnlsur}} {hline} {bf:{err:{dlgtab:Title}}} {bf: lmhnlsur: Overall System NL-SUR Heteroscedasticity Tests} {bf:{err:{dlgtab:Syntax}}} {cmd: lmhnlsur} {bf:{err:{dlgtab:Description}}} {p 2 2 2}lmhnlsur computes Overall System NL-SUR Heteroscedasticity tests, after:{p_end} {p 2 2 2}- (NL-SUR) Non-Linear Seemingly Unrelated Regression Estimation {helpb nlsur} for sets of equations.{p_end} {p 2 2 2}lmhnlsur calculates single Equation Heteroscedasticity:{p_end} {p 4 2 2}- Engle LM ARCH Test.{p_end} {p 4 2 2}- Hall-Pagan LM Test: E2 = Yh.{p_end} {p 4 2 2}- Hall-Pagan LM Test: E2 = Yh2.{p_end} {p 4 2 2}- Hall-Pagan LM Test: E2 = LYh2.{p_end} {p 2 2 2}lmhnlsur calculates overall system Heteroscedasticity:{p_end} {p 4 2 2}- Breusch-Pagan LM Test.{p_end} {p 4 2 2}- Likelihood Ratio LR Test.{p_end} {p 4 2 2}- Wald Test.{p_end} {bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:lmhnlsur} saves the following in {cmd:r()}: {synoptset 12 tabbed}{...} {p2col 5 12 12 2: Scalars}{p_end} {synopt:{cmd:r(lmhlm)}}Breusch-Pagan LM Test{p_end} {synopt:{cmd:r(lmhlmp)}}Breusch-Pagan LM Test P-Value{p_end} {synopt:{cmd:r(lmhlr)}}Likelihood Ratio LR Test{p_end} {synopt:{cmd:r(lmhlrp)}}Likelihood Ratio LR Test P-Value{p_end} {synopt:{cmd:r(lmhw)}}Wald Test{p_end} {synopt:{cmd:r(lmhwp)}}Wald Test P-Value{p_end} {col 4}{cmd:e(mharch_#)}{col 20}Engle LM ARCH Test for eq.i {col 4}{cmd:e(mharchp_#)}{col 20}Engle LM ARCH Test for eq.# P-Value {col 4}{cmd:e(lmhhp1_#)}{col 20}Hall-Pagan LM Test E2 = Yh for eq.# {col 4}{cmd:e(lmhhp1p_#)}{col 20}Hall-Pagan LM Test E2 = Yh for eq.# P-Value {col 4}{cmd:e(lmhhp2_#)}{col 20}Hall-Pagan LM Test E2 = Yh2 for eq.# {col 4}{cmd:e(lmhhp2p_#)}{col 20}Hall-Pagan LM Test E2 = Yh2 for eq.# P-Value {col 4}{cmd:e(lmhhp3_#)}{col 20}Hall-Pagan LM Test E2 = Yh3 for eq.# {col 4}{cmd:e(lmhhp3p_#)}{col 20}Hall-Pagan LM Test E2 = Yh3 for eq.# P-Value {bf:{err:{dlgtab:References}}} {p 4 8 2}Greene, William (1993) {cmd: "Econometric Analysis",} {it:2nd ed., Macmillan Publishing Company Inc., New York, USA.}; 492-493. {p 4 8 2}Greene, William (2007) {cmd: "Econometric Analysis",} {it:6th ed., Macmillan Publishing Company Inc., New York, USA.}; 534-536. {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}; 494. {bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse lmanlsur.dta , clear} * (1) NL-SUR Model: {stata nlsur (y1={B10}+{B11}*y2+{B12}*x1+{B13}*x2) (y2={B20}+{B21}*y1+{B22}*x3+{B23}*x4)} {stata lmhnlsur} {stata return list} * (2) SUR Model: {stata sureg (y1 y2 x1 x2) (y2 y1 x3 x4)} {stata lmhnlsur} {stata 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 ------------------------------------------------------------------------------ {bf:{err:{dlgtab:Author}}} {hi:Emad Abd Elmessih Shehata} {hi:Assistant Professor} {hi:Agricultural Research Center - Agricultural Economics Research Institute - Egypt} {hi:Email: {browse "mailto:emadstat@hotmail.com":emadstat@hotmail.com}} {hi:WebPage:{col 27}{browse "http://emadstat.110mb.com/stata.htm"}} {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"}} {bf:{err:{dlgtab:lmhnlsur Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih (2012)}{p_end} {p 1 10 1}{cmd:LMHNLSUR: "Overall System NL-SUR Heteroscedasticity Tests"}{p_end} {title:Online Help:} {p 2 10 2} {helpb lmanlsur}, {helpb lmhnlsur}, {helpb lmnnlsur}, {helpb lmcovnlsur}, {helpb r2nlsur}{p_end} {p 2 10 2} {helpb lmareg3}, {helpb lmhreg3}, {helpb lmnreg3}, {helpb lmcovreg3}, {helpb r2reg3}{p_end} {p 2 10 2} {helpb lmasem}, {helpb lmhsem}, {helpb lmnsem}, {helpb lmcovsem}, {helpb r2sem}. {opt (if installed)}.{p_end} {psee} {p_end}