help: lmndp2 dialog:

Title

lmndp2: 2SLS-IV Non Normality D'Agostino-Pearson Test

Table of Contents

Syntax

Description

Model

GMM Options

Other Options

Saved Results

References

*** Examples

Authors

Syntax

lmndp2 depvar indepvars (endog = inst) [if] [in] ,

model(2sls, liml, gmm, melo, fuller, kclass)

[ kc(#) kf(#) hetcov(type) noconstant noconexog ]

Description

lmndp2 computes 2SLS-IV Non Normality D'Agostino-Pearson Test for instrumental variables regression models, via 2sls, liml, melo, gmm, and kclass.

Ho: Normality - Ha: Non Normality
- D'Agostino-Pearson LM Test

Model

model description

2sls Two-Stage Least Squares (2SLS)

liml Limited-Information Maximum Likelihood (LIML)

melo Minimum Expected Loss (MELO)

fuller Fuller k-Class LIML

kclass Theil K-Class LIML

gmm Generalized Method of Moments (GMM)

GMM Options

hetcov Options Description

hetcov(white) White Method

hetcov(bart) Bartlett Method

hetcov(dan) Daniell Method

hetcov(nwest) Newey-West Method

hetcov(parzen) Parzen Method

hetcov(quad) Quadratic spectral Method

hetcov(tent) Tent Method

hetcov(trunc) Truncated Method

hetcov(tukeym) Tukey-Hamming Method

hetcov(tukeyn) Tukey-Hanning Method

Other Options

kf(#) Fuller k-Class LIML Value

kc(#) Theil k-Class LIML Value

noconstant Exclude Constant Term from RHS Equation only

noconexog Exclude Constant Term from all Equations (both RHS and Instrumental Equations). Results of using noconexog option are identical to Stata ivregress.
The default of lmndp2 is including Constant Term in both RHS and Instrumental Equations

Saved Results

lmndp2 saves the following in e():

e(lmndp) D'Agostino-Pearson LM Test
e(lmndpp) D'Agostino-Pearson LM Test P-Value

References

D'Agostino, R. B., & Rosman, B. (1974)
"The Power of Geary’s Test of Normality",
Biometrika, 61(1); 181-184.

Pearson, E. S., D'Agostino, R. B., & Bowman, K. O. (1977)
"Tests for Departure from Normality: Comparison of Powers",
Biometrika, 64(2); 231-246.

Examples

clear all

sysuse lmndp2.dta , clear

db lmndp2

lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(melo)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(liml)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(fuller) kf(0.5)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(kclass) kc(0.5)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(white)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(bart)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(dan)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(nwest)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(parzen)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(quad)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tent)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(trunc)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeym)
lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeyn)

. clear all
. sysuse lmndp2.dta , clear
. lmndp2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls)

==============================================================================
* Two Stage Least Squares (2SLS)
==============================================================================
y1 = y2 + x1 + x2
------------------------------------------------------------------------------
Sample Size = 17
Wald Test = 79.9520 | P-Value > Chi2(3) = 0.0000
F-Test = 26.6507 | P-Value > F(3 , 13) = 0.0000
(Buse 1973) R2 = 0.8592 | Raw Moments R2 = 0.9954
(Buse 1973) R2 Adj = 0.8267 | Raw Moments R2 Adj = 0.9944
Root MSE (Sigma) = 10.2244 | Log Likelihood Function = -61.3630
------------------------------------------------------------------------------
- R2h= 0.8593 R2h Adj= 0.8268 F-Test = 26.46 P-Value > F(3 , 13) 0.0000
- R2v= 0.8765 R2v Adj= 0.8480 F-Test = 30.75 P-Value > F(3 , 13) 0.0000
------------------------------------------------------------------------------
y1 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y2 | .237333 .2422811 0.98 0.345 -.2860835 .7607495
x1 | .2821278 .5433329 0.52 0.612 -.8916715 1.455927
x2 | -1.044795 .362648 -2.88 0.013 -1.828248 -.2613411
_cons | 145.8444 61.72083 2.36 0.034 12.50468 279.1842
------------------------------------------------------------------------------
* Y = LHS Dependent Variable: 1 = y1
* Yi = RHS Endogenous Variables: 1 = y2
* Xi = RHS Included Exogenous Vars: 2 = x1 x2
* Xj = RHS Excluded Exogenous Vars: 2 = x3 x4
* Z = Overall Instrumental Vars: 4 = x1 x2 x3 x4

==============================================================================
*** 2SLS-IV Non Normality D'Agostino-Pearson Test - Model= (2sls)
==============================================================================
Ho: Normality - Ha: Non Normality
------------------------------------------------------------------------------
- D'Agostino-Pearson LM Test = 5.0270 P-Value > Chi2(2) 0.0810
------------------------------------------------------------------------------

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

LMNDP2 Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2015)

LMNDP2: "Stata Module to Compute 2SLS-IV Non Normality D'Agostino-Pearson 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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