help: lmhwaldxt dialog:

Title

lmhwaldxt: Panel Data Heteroscedasticity Wald Test

Table of Contents

Syntax

Options

Description

Saved Results

References

*** Examples

Authors

Syntax

lmhwaldxt depvar indepvars [if] [in] , id(var) it(var) [ noconstant cross coll ]

Options

* id(var) Cross Sections ID variable name
* it(var) Time Series ID variable name

cross estimates each Cross Section regression,
to stack each residual variable in one variable,
and the same method for predict variable.

coll keep collinear variables; default is removing collinear variables.

noconstant Exclude Constant Term from Equation

Description

lmhwaldxt computes Panel Data Heteroscedasticity Wald Test.

* Ho: Panel Homoscedasticity - Ha: Panel Heteroscedasticity
- Wald Test: LogE2 = X

R2, R2 Adjusted, and F-Test, are obtained from 4 ways:

1- (Buse 1973) R2.

2- Raw Moments R2.

3- squared correlation between predicted (Yh) and observed dependent variable (Y).

4- Ratio of variance between predicted (Yh) and observed dependent variable (Y).

- Adjusted R2: R2_a=1-(1-R2)*(N-1)/(N-K-1).

- F-Test=R2/(1-R2)*(N-K-1)/(K).

Saved Results

lmhwaldxt saves the following results in e():

e(lmhwald) Wald Test
e(lmhwaldp) Wald Test P-Value

References

Greene, William (1993)
"Econometric Analysis",
2nd ed., Macmillan Publishing Company Inc., New York, USA..

Greene, William (2007)
"Econometric Analysis",
6th ed., Macmillan Publishing Company Inc., New York, USA..

Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988)
"Introduction To The Theory And Practice Of Econometrics",
2nd ed., John Wiley & Sons, Inc., New York, USA.

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.

Examples

clear all

sysuse lmhwaldxt.dta, clear

db lmhwaldxt

lmhwaldxt y x1 x2 , id(id) it(t)

. clear all
. sysuse lmhwaldxt.dta, clear
. lmhwaldxt y x1 x2 , id(id) it(t)

==============================================================================
* Ordinary Least Squares (OLS) Regression
==============================================================================
y = x1 + x2
------------------------------------------------------------------------------
Sample Size = 49 | Cross Sections Number = 7
Wald Test = 56.7713 | P-Value > Chi2(2) = 0.0000
F-Test = 28.3857 | P-Value > F(2 , 46) = 0.0000
(Buse 1973) R2 = 0.5524 | Raw Moments R2 = 0.9186
(Buse 1973) R2 Adj = 0.5329 | Raw Moments R2 Adj = 0.9151
Root MSE (Sigma) = 11.4350 | Log Likelihood Function = -187.3772
------------------------------------------------------------------------------
- R2h= 0.5524 R2h Adj= 0.5329 F-Test = 28.39 P-Value > F(2 , 46) 0.0000
- R2v= 0.5524 R2v Adj= 0.5329 F-Test = 28.39 P-Value > F(2 , 46) 0.0000
------------------------------------------------------------------------------
y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x1 | -.2739317 .1031986 -2.65 0.011 -.4816598 -.0662037
x2 | -1.597311 .3341306 -4.78 0.000 -2.269881 -.9247407
_cons | 68.61898 4.735484 14.49 0.000 59.08694 78.15101
------------------------------------------------------------------------------

==============================================================================
*** Panel Data Heteroscedasticity Wald Test
==============================================================================
Ho: Panel Homoscedasticity - Ha: Panel Heteroscedasticity

- Wald Test: LogE2 = X = 8.6588 P-Value > Chi2(1) 0.0033
------------------------------------------------------------------------------

Authors

- Emad Abd Elmessih Shehata
Professor (PhD Economics)
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

- Sahra Khaleel A. Mickaiel
Professor (PhD Economics)
Cairo University - Faculty of Agriculture - Department of Economics - Egypt
Email: sahra_atta@hotmail.com
WebPage: http://sahraecon.110mb.com/stata.htm
WebPage at IDEAS: http://ideas.repec.org/f/pmi520.html
WebPage at EconPapers: http://econpapers.repec.org/RAS/pmi520.htm

LMHWALDXT Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2013)

LMHWALDXT: "Panel Data Heteroscedasticity Wald Test"

http://ideas.repec.org/c/boc/bocode/s457715.html

http://econpapers.repec.org/software/bocbocode/s457715.htm

Online Help:

* Heteroscedasticity Tests:

* (1) (OLS) * Ordinary Least Squares Tests:
lmhreg OLS Heteroscedasticity Tests
lmharch OLS Heteroscedasticity Engle (ARCH) Test
lmhcw OLS Heteroscedasticity Cook-Weisberg Test
lmhgl OLS Heteroscedasticity Glejser Test
lmhharv OLS Heteroscedasticity Harvey Test
lmhhp OLS Heteroscedasticity Hall-Pagan Test
lmhmss OLS Heteroscedasticity Machado-Santos-Silva Test
lmhwald OLS Heteroscedasticity Wald Test
lmhwhite OLS Heteroscedasticity White Test
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* (2) (NLS) * Non Linear Least Squares Tests:
lmhnls Non Linear Least Squares Heteroscedasticity Tests
lmharchnl NLS Heteroscedasticity Engle (ARCH) Test
lmhcwnl NLS Heteroscedasticity Cook-Weisberg Test
lmhglnl NLS Heteroscedasticity Glejser Test
lmhharvnl NLS Heteroscedasticity Harvey Test
lmhhpnl NLS Heteroscedasticity Hall-Pagan Test
lmhmssnl NLS Heteroscedasticity Machado-Santos-Silva Test
lmhwaldnl NLS Heteroscedasticity Wald Test
lmhwhitenl NLS Heteroscedasticity White Test
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* (3) (MLE) * Maximum Likelihood Estimation Tests:
lmhmle MLE Heteroscedasticity Tests
lmharchml MLE Heteroscedasticity Engle (ARCH) Test
lmhcwml MLE Heteroscedasticity Cook-Weisberg Test
lmhglml MLE Heteroscedasticity Glejser Test
lmhharvml MLE Heteroscedasticity Harvey Test
lmhhpml MLE Heteroscedasticity Hall-Pagan Test
lmhmssml MLE Heteroscedasticity Machado-Santos-Silva Test
lmhwaldml MLE Heteroscedasticity Wald Test
lmhwhiteml MLE Heteroscedasticity White Test
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* (4) (2SLS-IV) * Two-Stage Least Squares & Instrumental Variables Tests:
lmhreg2 2SLS-IV Heteroscedasticity Tests
lmharch2 2SLS-IV Heteroscedasticity Engle (ARCH) Test
lmhcw2 2SLS-IV Heteroscedasticity Cook-Weisberg Test
lmhgl2 2SLS-IV Heteroscedasticity Glejser Test
lmhharv2 2SLS-IV Heteroscedasticity Harvey Test
lmhhp2 2SLS-IV Heteroscedasticity Hall-Pagan Test
lmhmss2 2SLS-IV Heteroscedasticity Machado-Santos-Silva Test
lmhwald2 2SLS-IV Heteroscedasticity Wald Test
lmhwhite2 2SLS-IV Heteroscedasticity White Test
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* (5) Panel Data Tests:
lmhxt Panel Data Heteroscedasticity Tests
lmhgwxt Panel Data Groupwise Heteroscedasticity Tests
ghxt Panel Groupwise Heteroscedasticity Tests
lmhlmxt Panel Data Groupwise Heteroscedasticity Breusch-Pagan LM Test
lmhlrxt Panel Data Groupwise Heteroscedasticity Greene LR Test
lmharchxt Panel Data Heteroscedasticity Engle (ARCH) Test
lmhcwxt Panel Data Heteroscedasticity Cook-Weisberg Test
lmhglxt Panel Data Heteroscedasticity Glejser Test
lmhharvxt Panel Data Heteroscedasticity Harvey Test
lmhhpxt Panel Data Heteroscedasticity Hall-Pagan Test
lmhmssxt Panel Data Heteroscedasticity Machado-Santos-Silva Test
lmhwaldxt Panel Data Heteroscedasticity Wald Test
lmhwhitext Panel Data Heteroscedasticity White Test
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* (6) (3SLS-SUR) * Simultaneous Equations Tests:
lmareg3 (3SLS-SUR) Overall System Autocorrelation Tests
lmhreg3 (3SLS-SUR) Overall System Heteroscedasticity Tests
lmnreg3 (3SLS-SUR) Overall System Non Normality Tests
lmcovreg3 (3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix
r2reg3 (3SLS-SUR) Overall System R2, F-Test, and Chi2-Test
diagreg3 (3SLS-SUR) Overall System ModeL Selection Diagnostic Criteria
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* (7) (SEM-FIML) * Structural Equation Modeling Tests:
lmasem (SEM-FIML) Overall System Autocorrelation Tests
lmhsem (SEM-FIML) Overall System Heteroscedasticity Tests
lmnsem (SEM-FIML) Overall System Non Normality Tests
lmcovsem (SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test
r2sem (SEM-FIML) Overall System R2, F-Test, and Chi2-Test
diagsem (SEM-FIML) Overall System ModeL Selection Diagnostic Criteria
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* (8) (NL-SUR) * Non Linear Seemingly Unrelated Regression Tests:
lmanlsur (NL-SUR) Overall System Autocorrelation Tests
lmhnlsur (NL-SUR) Overall System Heteroscedasticity Tests
lmnnlsur (NL-SUR) Overall System Non Normality Tests
lmcovnlsur (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test
r2nlsur (NL-SUR) Overall System R2, F-Test, and Chi2-Test
diagnlsur (NL-SUR) Overall System ModeL Selection Diagnostic Criteria
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* (9) (VAR) * Vector Autoregressive Model Tests:
lmavar (VAR) Overall System Autocorrelation Tests
lmhvar (VAR) Overall System Heteroscedasticity Tests
lmnvar (VAR) Overall System Non Normality Tests
lmcovvar (VAR) Breusch-Pagan Diagonal Covariance Matrix Test
r2var (VAR) Overall System R2, F-Test, and Chi2-Test
diagvar (VAR) Overall System ModeL Selection Diagnostic Criteria
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