help: lmnjbxt dialog:

Title

lmnjbxt: Panel Data Non Normality Jarque-Bera Test

Table of Contents

Syntax

Options

Description

Saved Results

References

*** Examples

Authors

Syntax

lmnjbxt 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

coll keep collinear variables; default is removing collinear variables.

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

noconstant Exclude Constant Term from Equation

Description

lmnjbxt computes Panel Data Non Normality Jarque-Bera Test.

* Ho: Panel Normality - Ha: Panel Non Normality
- Jarque-Bera 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).

Saved Results

lmnjbxt saves the following results in e():

e(lmnjb) Jarque-Bera LM Test
e(lmnjbp) Jarque-Bera LM Test P-Value

References

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

Damodar Gujarati (1995)
"Basic Econometrics"
3rd Edition, McGraw Hill, New York, USA.

Greene, William (1993)
"Econometric Analysis",
2nd ed., Macmillan Publishing Company Inc., New York, USA; 616-618.

Greene, William (2007)
"Econometric Analysis",
6th ed., Upper Saddle River, NJ: Prentice-Hall; 387-388.

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.

Examples

clear all

sysuse lmnjbxt.dta, clear

db lmnjbxt

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

. 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
------------------------------------------------------------------------------

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

LMNJBXT Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2016)

LMNJBXT: "Stata Module to Compute Panel Data Non Normality Jarque-Bera 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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