{smcl} {hline} {cmd:help: {helpb lmnjbxt}}{space 50} {cmd:dialog:} {bf:{dialog lmnjbxt}} {hline} {bf:{err:{dlgtab:Title}}} {bf:lmnjbxt: Panel Data Non Normality Jarque-Bera Test} {marker 00}{bf:{err:{dlgtab:Table of Contents}}} {p 4 8 2} {p 5}{helpb lmnjbxt##01:Syntax}{p_end} {p 5}{helpb lmnjbxt##02:Options}{p_end} {p 5}{helpb lmnjbxt##03:Description}{p_end} {p 5}{helpb lmnjbxt##04:Saved Results}{p_end} {p 5}{helpb lmnjbxt##05:References}{p_end} {p 1}*** {helpb lmnjbxt##06:Examples}{p_end} {p 5}{helpb lmnjbxt##07:Authors}{p_end} {p2colreset}{...} {marker 01}{bf:{err:{dlgtab:Syntax}}} {p 5 5 6} {opt lmnjbxt} {depvar} {indepvars} {ifin} , {bf:{err:id(var)}} {bf:{err:it(var)}} {err: [} {opt nocons:tant} {opt cross} {opt coll} {err:]}{p_end} {p2colreset}{...} {marker 02}{bf:{err:{dlgtab:Options}}} {col 3}* {cmd: {opt id(var)}{col 20}Cross Sections ID variable name} {col 3}* {cmd: {opt it(var)}{col 20}Time Series ID variable name} {col 3}{opt coll}{col 20}keep collinear variables; default is removing collinear variables. {col 3}{opt cross}{col 20}estimates each Cross Section regression, {col 20}to stack each residual variable in one variable, {col 20}and the same method for predict variable. {col 3}{opt nocons:tant}{col 20}Exclude Constant Term from Equation {p2colreset}{...} {marker 03}{bf:{err:{dlgtab:Description}}} {p 2 2 2} {cmd:lmnjbxt} computes Panel Data Non Normality Jarque-Bera Test. * Ho: Panel Normality - Ha: Panel Non Normality - Jarque-Bera LM Test {p 3 4 2} R2, R2 Adjusted, and F-Test, are obtained from 4 ways:{p_end} {p 5 4 2} 1- (Buse 1973) R2.{p_end} {p 5 4 2} 2- Raw Moments R2.{p_end} {p 5 4 2} 3- squared correlation between predicted (Yh) and observed dependent variable (Y).{p_end} {p 5 4 2} 4- Ratio of variance between predicted (Yh) and observed dependent variable (Y).{p_end} {p 5 4 2} - Adjusted R2: R2_a=1-(1-R2)*(N-1)/(N-K-1).{p_end} {p 5 4 2} - F-Test=R2/(1-R2)*(N-K-1)/(K).{p_end} {p2colreset}{...} {marker 04}{bf:{err:{dlgtab:Saved Results}}} {p 2 4 2 }{cmd:lmnjbxt} saves the following results in {cmd:e()}: {col 4}{cmd:e(lmnjb)}{col 20}Jarque-Bera LM Test {col 4}{cmd:e(lmnjbp)}{col 20}Jarque-Bera LM Test P-Value {p2colreset}{...} {marker 05}{bf:{err:{dlgtab:References}}} {p 4 8 2}C.M. Jarque & A.K. Bera (1987) {cmd: "A Test for Normality of Observations and Regression Residuals"} {it:International Statistical Review}, Vol. 55; 163-172. {p 4 8 2}Damodar Gujarati (1995) {cmd: "Basic Econometrics"} {it:3rd Edition, McGraw Hill, New York, USA}. {p 4 8 2}Greene, William (1993) {cmd: "Econometric Analysis",} {it:2nd ed., Macmillan Publishing Company Inc., New York, USA}; 616-618. {p 4 8 2}Greene, William (2007) {cmd: "Econometric Analysis",} {it:6th ed., Upper Saddle River, NJ: Prentice-Hall}; 387-388. {p 4 8 2}Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988) {cmd: "Introduction To The Theory And Practice Of Econometrics",} {it:2nd ed., John Wiley & Sons, Inc., New York, USA}. {p2colreset}{...} {marker 06}{bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse lmnjbxt.dta, clear} {stata db lmnjbxt} {stata lmnjbxt y x1 x2 , id(id) it(t)} {hline} . clear all . sysuse lmnjbxt.dta, clear . lmnjbxt 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 R2 (R-Squared) = 0.5524 | Raw Moments R2 = 0.9186 R2a (Adjusted R2) = 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 Non Normality Jarque-Bera Test ============================================================================== Ho: Normality - Ha: Non Normality ------------------------------------------------------------------------------ - Jarque-Bera LM Test = 1.8358 P-Value > Chi2(2) 0.3994 ------------------------------------------------------------------------------ {p2colreset}{...} {marker 07}{bf:{err:{dlgtab:Authors}}} - {hi:Emad Abd Elmessih Shehata} {hi:Professor (PhD Economics)} {hi:Agricultural Research Center - Agricultural Economics Research Institute - Egypt} {hi:Email: {browse "mailto:emadstat@hotmail.com":emadstat@hotmail.com}} {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"}} - {hi:Sahra Khaleel A. Mickaiel} {hi:Professor (PhD Economics)} {hi:Cairo University - Faculty of Agriculture - Department of Economics - Egypt} {hi:Email: {browse "mailto:sahra_atta@hotmail.com":sahra_atta@hotmail.com}} {hi:WebPage at IDEAS:{col 27}{browse "http://ideas.repec.org/f/pmi520.html"}} {hi:WebPage at EconPapers:{col 27}{browse "http://econpapers.repec.org/RAS/pmi520.htm"}} {bf:{err:{dlgtab:LMNJBXT Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2016)}{p_end} {p 1 10 1}{cmd:LMNJBXT: "Stata Module to Compute Panel Data Non Normality Jarque-Bera Test"}{p_end} {title:Online Help:} {bf:{err:* Non Normality Tests:}} {bf:{err:* (1) (OLS) * Ordinary Least Squares Tests:}} {helpb lmnreg}{col 12}OLS Non Normality Tests {helpb lmnad}{col 12}OLS Non Normality Anderson-Darling Test {helpb lmndh}{col 12}OLS Non Normality Doornik-Hansen Test {helpb lmndp}{col 12}OLS Non Normality D'Agostino-Pearson Test {helpb lmngry}{col 12}OLS Non Normality Geary Runs Test {helpb lmnjb}{col 12}OLS Non Normality Jarque-Bera Test {helpb lmnwhite}{col 12}OLS Non Normality White Test --------------------------------------------------------------------------- {bf:{err:* (2) (NLS) * Non Linear Least Squares Tests:}} {helpb lmnnls}{col 12}NLS Non Normality Tests {helpb lmnadnl}{col 12}NLS Non Normality Anderson-Darling Test {helpb lmndhnl}{col 12}NLS Non Normality Doornik-Hansen Test {helpb lmndpnl}{col 12}NLS Non Normality D'Agostino-Pearson Test {helpb lmngrynl}{col 12}NLS Non Normality Geary Runs Test {helpb lmnjbnl}{col 12}NLS Non Normality Jarque-Bera Test {helpb lmnwhitenl}{col 12}NLS Non Normality White Test --------------------------------------------------------------------------- {bf:{err:* (3) (MLE) * Maximum Likelihood Estimation Tests:}} {helpb lmnmle}{col 12}MLE Non Normality Tests {helpb lmnadml}{col 12}MLE Non Normality Anderson-Darling Test {helpb lmndhml}{col 12}MLE Non Normality Doornik-Hansen Test {helpb lmndpml}{col 12}MLE Non Normality D'Agostino-Pearson Test {helpb lmngryml}{col 12}MLE Non Normality Geary Runs Test {helpb lmnjbml}{col 12}MLE Non Normality Jarque-Bera Test {helpb lmnwhiteml}{col 12}MLE Non Normality White Test --------------------------------------------------------------------------- {bf:{err:* (4) (2SLS-IV) * Two-Stage Least Squares & Instrumental Variables Tests:}} {helpb lmnreg2}{col 12}2SLS-IV Non Normality Tests {helpb lmnad2}{col 12}2SLS-IV Non Normality Anderson-Darling Test {helpb lmndh2}{col 12}2SLS-IV Non Normality Doornik-Hansen Test {helpb lmndp2}{col 12}2SLS-IV Non Normality D'Agostino-Pearson Test {helpb lmngry2}{col 12}2SLS-IV Non Normality Geary Runs Test {helpb lmnjb2}{col 12}2SLS-IV Jarque-Bera LM Non Normality Test {helpb lmnwhite2}{col 12}2SLS-IV White IM Non Normality Test --------------------------------------------------------------------------- {bf:{err:* (5) Panel Data Tests:}} {helpb lmnxt}{col 12}Panel Data Non Normality Tests {helpb lmnadxt}{col 12}Panel Data Non Normality Anderson-Darling Test {helpb lmndhxt}{col 12}Panel Data Non Normality Doornik-Hansen Test {helpb lmndpxt}{col 12}Panel Data Non Normality D'Agostino-Pearson Test {helpb lmngryxt}{col 12}Panel Data Non Normality Geary Runs Test {helpb lmnjbxt}{col 12}Panel Data Non Normality Jarque-Bera Test {helpb lmnwhitext}{col 12}Panel Data Non Normality White Test --------------------------------------------------------------------------- {bf:{err:* (6) (3SLS-SUR) * Simultaneous Equations Tests:}} {helpb lmareg3}{col 12}(3SLS-SUR) Overall System Autocorrelation Tests {helpb lmhreg3}{col 12}(3SLS-SUR) Overall System Heteroscedasticity Tests {helpb lmnreg3}{col 12}(3SLS-SUR) Overall System Non Normality Tests {helpb lmcovreg3}{col 12}(3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix {helpb r2reg3}{col 12}(3SLS-SUR) Overall System R2, F-Test, and Chi2-Test {helpb diagreg3}{col 12}(3SLS-SUR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (7) (SEM-FIML) * Structural Equation Modeling Tests:}} {helpb lmasem}{col 12}(SEM-FIML) Overall System Autocorrelation Tests {helpb lmhsem}{col 12}(SEM-FIML) Overall System Heteroscedasticity Tests {helpb lmnsem}{col 12}(SEM-FIML) Overall System Non Normality Tests {helpb lmcovsem}{col 12}(SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2sem}{col 12}(SEM-FIML) Overall System R2, F-Test, and Chi2-Test {helpb diagsem}{col 12}(SEM-FIML) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (8) (NL-SUR) * Non Linear Seemingly Unrelated Regression Tests:}} {helpb lmanlsur}{col 12}(NL-SUR) Overall System Autocorrelation Tests {helpb lmhnlsur}{col 12}(NL-SUR) Overall System Heteroscedasticity Tests {helpb lmnnlsur}{col 12}(NL-SUR) Overall System Non Normality Tests {helpb lmcovnlsur}{col 12}(NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2nlsur}{col 12}(NL-SUR) Overall System R2, F-Test, and Chi2-Test {helpb diagnlsur}{col 12}(NL-SUR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (9) (VAR) * Vector Autoregressive Model Tests:}} {helpb lmavar}{col 12}(VAR) Overall System Autocorrelation Tests {helpb lmhvar}{col 12}(VAR) Overall System Heteroscedasticity Tests {helpb lmnvar}{col 12}(VAR) Overall System Non Normality Tests {helpb lmcovvar}{col 12}(VAR) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2var}{col 12}(VAR) Overall System R2, F-Test, and Chi2-Test {helpb diagvar}{col 12}(VAR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {psee} {p_end}