help: lmhreg3 dialog:

Title

lmhreg3: Overall System Heteroscedasticity Tests after (3SLS-SURE) Regressions

Syntax

lmhreg3

Description

lmhreg3 computes overall system Heteroscedasticity tests, after:

- (3SLS) Three-Stage Least Squares reg3 for systems of simultaneous equations.

- (SURE) Seemingly Unrelated Regression Estimation sureg for sets of equations.

lmhreg3 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.

lmhreg3 calculates overall system Heteroscedasticity:

- Breusch-Pagan LM Test.

- Likelihood Ratio LR Test.

- Wald Test.

Saved Results

lmhreg3 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

Examples

clear all

sysuse lmhreg3.dta , clear

* (1) SUR Model:

sureg (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4)

lmhreg3

return list

* (2) 3SLS Model:

reg3 (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4)

lmhreg3

return list

* If you want to use dialog box: Press OK to compute lmhreg3

db lmhreg3

. clear all
. sysuse lmhreg3.dta , clear
. reg3 (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4)
. lmhreg3

=================================================
* System Heteroscedasticity Tests (3sls)
=================================================
*** Single Equation Heteroscedasticity Tests:
Ho: Homoscedasticity - Ha: Heteroscedasticity

Eq. y1 : Engle LM ARCH Test: E2 = E2_1 = 6.3690 P-Value > Chi2(1) 0.0116
Eq. y1 : Hall-Pagan LM Test: E2 = Yh = 0.9303 P-Value > Chi2(1) 0.3348
Eq. y1 : Hall-Pagan LM Test: E2 = Yh2 = 0.8921 P-Value > Chi2(1) 0.3449
Eq. y1 : Hall-Pagan LM Test: E2 = LYh2 = 0.7534 P-Value > Chi2(1) 0.3854
------------------------------------------------------------------------------
Eq. y2 : Engle LM ARCH Test: E2 = E2_1 = 0.3761 P-Value > Chi2(1) 0.5397
Eq. y2 : Hall-Pagan LM Test: E2 = Yh = 0.4260 P-Value > Chi2(1) 0.5139
Eq. y2 : Hall-Pagan LM Test: E2 = Yh2 = 0.1462 P-Value > Chi2(1) 0.7022
Eq. y2 : Hall-Pagan LM Test: E2 = LYh2 = 0.7281 P-Value > Chi2(1) 0.3935
------------------------------------------------------------------------------
Eq. y3 : Engle LM ARCH Test: E2 = E2_1 = 0.9578 P-Value > Chi2(1) 0.3277
Eq. y3 : Hall-Pagan LM Test: E2 = Yh = 0.3958 P-Value > Chi2(1) 0.5293
Eq. y3 : Hall-Pagan LM Test: E2 = Yh2 = 0.9242 P-Value > Chi2(1) 0.3364
Eq. y3 : Hall-Pagan LM Test: E2 = LYh2 = 0.0165 P-Value > Chi2(1) 0.8979
------------------------------------------------------------------------------
Eq. y4 : Engle LM ARCH Test: E2 = E2_1 = 0.0143 P-Value > Chi2(1) 0.9047
Eq. y4 : Hall-Pagan LM Test: E2 = Yh = 2.0117 P-Value > Chi2(1) 0.1561
Eq. y4 : Hall-Pagan LM Test: E2 = Yh2 = 2.0956 P-Value > Chi2(1) 0.1477
Eq. y4 : Hall-Pagan LM Test: E2 = LYh2 = 1.8364 P-Value > Chi2(1) 0.1754
------------------------------------------------------------------------------
*** Overall System Heteroscedasticity Tests:
Ho: No Overall System Heteroscedasticity

- Breusch-Pagan LM Test = 10.7443 P-Value > Chi2(6) 0.0966
- Likelihood Ratio LR Test = 14.0682 P-Value > Chi2(6) 0.0289
- Wald Test = 19.9272 P-Value > Chi2(6) 0.0029
------------------------------------------------------------------------------

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.

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

lmhreg3 Citation

Shehata, Emad Abd Elmessih (2011)

"LMHREG3: Stata Module to Compute Overall System Heteroscedasticity Tests after (3SLS-SURE) Regressions"

Online Help:

lmhreg lmhreg lmhreg2 lmhreg3 (if installed).