help: lmndh dialog:

Title

lmndh: OLS Non Normality Doornik-Hansen Test

Table of Contents

Syntax

Description

Options

Saved Results

References

*** Examples

Authors

Syntax

lmndh depvar indepvars [if] [in] , [ noconstant coll ]

Description

lmndh computes OLS Non Normality Doornik-Hansen Test

Ho: Normality - Ha: Non Normality
- Doornik-Hansen LM Test

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).

Options

noconstant Exclude Constant Term from Equation

coll keep collinear variables; default is removing collinear variables.

Saved Results

lmndh saves the following in e():

e(lmndh) Doornik-Hansen LM Test
e(lmndhp) Doornik-Hansen LM Test P-Value

References

Doornik, Jurgen A. & Hansen, Henrik (1994)
"An Omnibus Test for Univariate and Multivariate Normality",
Working Paper, Nuffield College, University of Oxford.

Doornik, Jurgen A. & Hansen, Henrik (2008)
"An Omnibus Test for Univariate and Multivariate Normality",
Oxford Bulletin of Economics and Statistics, 70; 927-939.

Examples

clear all

sysuse lmndh.dta , clear

db lmndh

lmndh y x1 x2

. clear all
. sysuse lmndh.dta , clear
. lmndh y x1 x2

==============================================================================
* Ordinary Least Squares (OLS)
==============================================================================
y = x1 + x2
------------------------------------------------------------------------------
Sample Size = 17
Wald Test = 273.3662 | P-Value > Chi2(2) = 0.0000
F-Test = 136.6831 | P-Value > F(2 , 14) = 0.0000
(Buse 1973) R2 = 0.9513 | Raw Moments R2 = 0.9986
(Buse 1973) R2 Adj = 0.9443 | Raw Moments R2 Adj = 0.9984
Root MSE (Sigma) = 5.5634 | Log Likelihood Function = -51.6471
------------------------------------------------------------------------------
- R2h= 0.9513 R2h Adj= 0.9443 F-Test = 136.68 P-Value > F(2 , 14) 0.0000
- R2v= 0.9513 R2v Adj= 0.9443 F-Test = 136.68 P-Value > F(2 , 14) 0.0000
------------------------------------------------------------------------------
y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x1 | 1.061709 .2666739 3.98 0.001 .4897506 1.633668
x2 | -1.382986 .0838143 -16.50 0.000 -1.562749 -1.203222
_cons | 130.7066 27.09429 4.82 0.000 72.59515 188.8181
------------------------------------------------------------------------------

==============================================================================
*** OLS Non Normality Doornik-Hansen Test
==============================================================================
Ho: Normality - Ha: Non Normality
------------------------------------------------------------------------------
- Doornik-Hansen LM Test = 0.2231 P-Value > Chi2(2) 0.8944
------------------------------------------------------------------------------

Authors

- Emad Abd Elmessih Shehata
Professor (PhD Economics)
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
Email: emadstat@hotmail.com
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 at IDEAS: http://ideas.repec.org/f/pmi520.html
WebPage at EconPapers: http://econpapers.repec.org/RAS/pmi520.htm

LMNDH Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2014)

LMNDH: "Stata Module to Compute OLS Non Normality Doornik-Hansen Test"

Online Help:

* Non Normality Tests:

* (1) (OLS) * Ordinary Least Squares Tests:
lmnreg OLS Non Normality Tests
lmnad OLS Non Normality Anderson-Darling Test
lmndh OLS Non Normality Doornik-Hansen Test
lmndp OLS Non Normality D'Agostino-Pearson Test
lmngry OLS Non Normality Geary Runs Test
lmnjb OLS Non Normality Jarque-Bera Test
lmnwhite OLS Non Normality White Test
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* (2) (NLS) * Non Linear Least Squares Tests:
lmnnls NLS Non Normality Tests
lmnadnl NLS Non Normality Anderson-Darling Test
lmndhnl NLS Non Normality Doornik-Hansen Test
lmndpnl NLS Non Normality D'Agostino-Pearson Test
lmngrynl NLS Non Normality Geary Runs Test
lmnjbnl NLS Non Normality Jarque-Bera Test
lmnwhitenl NLS Non Normality White Test
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* (3) (MLE) * Maximum Likelihood Estimation Tests:
lmnmle MLE Non Normality Tests
lmnadml MLE Non Normality Anderson-Darling Test
lmndhml MLE Non Normality Doornik-Hansen Test
lmndpml MLE Non Normality D'Agostino-Pearson Test
lmngryml MLE Non Normality Geary Runs Test
lmnjbml MLE Non Normality Jarque-Bera Test
lmnwhiteml MLE Non Normality White Test
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* (4) (2SLS-IV) * Two-Stage Least Squares & Instrumental Variables Tests:
lmnreg2 2SLS-IV Non Normality Tests
lmnad2 2SLS-IV Non Normality Anderson-Darling Test
lmndh2 2SLS-IV Non Normality Doornik-Hansen Test
lmndp2 2SLS-IV Non Normality D'Agostino-Pearson Test
lmngry2 2SLS-IV Non Normality Geary Runs Test
lmnjb2 2SLS-IV Jarque-Bera LM Non Normality Test
lmnwhite2 2SLS-IV White IM Non Normality Test
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* (5) Panel Data Tests:
lmnxt Panel Data Non Normality Tests
lmnadxt Panel Data Non Normality Anderson-Darling Test
lmndhxt Panel Data Non Normality Doornik-Hansen Test
lmndpxt Panel Data Non Normality D'Agostino-Pearson Test
lmngryxt Panel Data Non Normality Geary Runs Test
lmnjbxt Panel Data Non Normality Jarque-Bera Test
lmnwhitext Panel Data Non Normality 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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