help: lmnjb dialog:

Title

lmnjb: Jarque-Bera Non Normality Lagrange Multiplier Test

Syntax

lmnjb depvar indepvars [if] [in] [weight] , [ noconstant vce(vcetype) ]

Options

noconstant suppress constant term

SE/Robust
vce(vcetype) vcetype may be ols,
robust, cluster clustvar, bootstrap,
jackknife, hc2, or hc3

Description

lmnjb computes Lagrange Multiplier Jarque-Bera normality test for OLS residuals after regress command.

Ho: Error has normality distribution.

Ha: Error has non normality distribution.

LM Jarque-Bera test has degrees of freedom with chi2 at 2 DF (5.99).

Saved Results

lmnjb saves the following in r():

Scalars

r(lmn) LM Jarque-Bera Normality Test

r(df) Chi2 degrees of freedom

r(p) P-Value significance

Example

clear all

sysuse lmnjb.dta, clear

lmnjb y x1 x2

return list

db lmnjb

References

C.M. Jarque and A.K. Bera (1987)
"A Test for Normality of Observations and Regression Residuals"
International Statistical Review, Vol. 55; 163-172.

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

lmnjb Citation

Shehata, Emad Abd Elmessih (2011)

"lmnjb: Stata Module to Compute Jarque-Bera Non Normality Lagrange Multiplier Runs Test"

http://ideas.repec.org/c/boc/bocode/s457319.html

http://econpapers.repec.org/software/bocbocode/S457319.htm