{smcl} {hline} {cmd:help: {helpb lmhsem}}{space 55} {cmd:dialog:} {bf:{dialog lmhsem}} {hline} {bf:{err:{dlgtab:Title}}} {bf: lmhsem: Overall System Heteroscedasticity Tests after (SEM) Regressions} {bf:{err:{dlgtab:Syntax}}} {cmd: lmhsem} {bf:{err:{dlgtab:Description}}} {p 2 2 2}lmhsem computes overall system Heteroscedasticity tests, after:{p_end} {p 2 2 2}- (SEM) Structural Equation Modeling Regressions {helpb sem} for system of simultaneous equations.{p_end} {p 2 2 2}lmhsem 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}lmhsem 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} {bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:lmhsem} 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} {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:Examples}}} in this example FIML will be used as follows: {stata clear all} {stata sysuse lmhsem.dta , clear} {stata sem (y1 <- y2 x1 x2) (y2 <- y1 x3 x4), cov(e.y1*e.y2)} {stata lmhsem} {stata return list} * If you want to use dialog box: Press OK to compute lmhsem {stata db lmhsem} . clear all . sysuse lmhsem.dta , clear . sem (y1 <- y2 x1 x2) (y2 <- y1 x3 x4), cov(e.y1*e.y2) Structural equation model Number of obs = 17 Estimation method = ml Log likelihood = -363.34588 ------------------------------------------------------------------------------ | OIM | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- Structural | y1 <- | y2 | .2425937 .2106232 1.15 0.249 -.1702201 .6554075 x1 | .2568409 .462485 0.56 0.579 -.649613 1.163295 x2 | -1.037016 .3154059 -3.29 0.001 -1.6552 -.4188317 _cons | 147.0826 54.4491 2.70 0.007 40.36431 253.8009 -----------+---------------------------------------------------------------- y2 <- | y1 | -.6282929 .6148239 -1.02 0.307 -1.833326 .5767398 x3 | -.5226661 .3235637 -1.62 0.106 -1.156839 .1115071 x4 | 3.4208 1.440664 2.37 0.018 .5971513 6.244449 _cons | 62.44495 42.36071 1.47 0.140 -20.58052 145.4704 -------------+---------------------------------------------------------------- Variance | e.y1 | 80.17577 28.99122 39.46865 162.8673 e.y2 | 142.4478 80.80501 46.86006 433.0208 -------------+---------------------------------------------------------------- Covariance | e.y1 | e.y2 | 25.62619 53.75243 0.48 0.634 -79.72665 130.979 ------------------------------------------------------------------------------ LR test of model vs. saturated: chi2(2) = 0.12, Prob > chi2 = 0.9408 . lmhsem ================================================= * System Heteroscedasticity Tests (ml) ================================================= *** Single Equation Heteroscedasticity Tests: Ho: Homoscedasticity - Ha: Heteroscedasticity Eq. 1 : Engle LM ARCH Test: E2 = E2_1 = 0.0319 P-Value > Chi2(1) 0.8582 Eq. 1 : Hall-Pagan LM Test: E2 = Yh = 3.2488 P-Value > Chi2(1) 0.0715 Eq. 1 : Hall-Pagan LM Test: E2 = Yh2 = 3.5925 P-Value > Chi2(1) 0.0580 Eq. 1 : Hall-Pagan LM Test: E2 = LYh2 = 2.9051 P-Value > Chi2(1) 0.0883 ------------------------------------------------------------------------------ Eq. 2 : Engle LM ARCH Test: E2 = E2_1 = 0.6860 P-Value > Chi2(1) 0.4075 Eq. 2 : Hall-Pagan LM Test: E2 = Yh = 1.0007 P-Value > Chi2(1) 0.3171 Eq. 2 : Hall-Pagan LM Test: E2 = Yh2 = 0.8447 P-Value > Chi2(1) 0.3581 Eq. 2 : Hall-Pagan LM Test: E2 = LYh2 = 1.1165 P-Value > Chi2(1) 0.2907 ------------------------------------------------------------------------------ *** Overall System Heteroscedasticity Tests: Ho: No Overall System Heteroscedasticity - Breusch-Pagan LM Test = 0.9775 P-Value > Chi2(1) 0.3228 - Likelihood Ratio LR Test = 1.0067 P-Value > Chi2(1) 0.3157 ------------------------------------------------------------------------------ {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: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:lmhsem Citation}}} {phang}{cmd:Shehata, Emad Abd Elmessih (2012)}{p_end} {phang}{cmd:LMHSEM: "Stata Module to Compute Overall System Heteroscedasticity Tests after Structural Equation Modeling (SEM) Regressions"}{p_end} {title:Online Help:} {p 2 10 2} {helpb lmasem}, {helpb lmhsem}, {helpb lmnsem}, {helpb lmcovsem}, {helpb r2sem},{p_end} {p 2 10 2} {helpb lmareg3}, {helpb lmhreg3}, {helpb lmnreg3}, {helpb lmcovreg3}, {helpb r2reg3}. {opt (if installed)}.{p_end} {psee} {p_end}