{smcl} {hline} {cmd:help: {helpb lmnnlsur}}{space 55} {cmd:dialog:} {bf:{dialog lmnnlsur}} {hline} {bf:{err:{dlgtab:Title}}} {bf: lmnnlsur: Overall System NL-SUR Non Normality Tests} {bf:{err:{dlgtab:Syntax}}} {cmd: lmnnlsur} {bf:{err:{dlgtab:Description}}} {p 2 2 2}lmnnlsur computes Overall System NL-SUR Non Normality Tests, after:{p_end} {p 2 2 2}- (NL-SUR) Non-Linear Seemingly Unrelated Regression Estimation {helpb nlsur} for sets of equations.{p_end} {bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:lmnnlsur} saves the following in {cmd:r()}: {synoptset 12 tabbed}{...} {p2col 5 12 12 2: Scalars}{p_end} {col 4}{cmd:r(lmnjb_#)}{col 20}Jarque-Bera LM Test for eq.# {col 4}{cmd:r(lmnjbp_#)}{col 20}Jarque-Bera LM Test for eq.# P-Value {col 4}{cmd:r(lmnjb)}{col 20}Jarque-Bera LM Test {col 4}{cmd:r(lmnjbp)}{col 20}Jarque-Bera LM Test P-Value {col 4}{cmd:r(lmndh)}{col 20}Doornik-Hansen LM Test {col 4}{cmd:r(lmndhp)}{col 20}Doornik-Hansen LM Test P-Value {col 4}{cmd:r(lmng)}{col 20}Geary LM Test {col 4}{cmd:r(lmngp)}{col 20}Geary LM Test P-Value {col 4}{cmd:r(lmnad)}{col 20}Anderson-Darling Z Test {col 4}{cmd:r(lmnadp)}{col 20}Anderson-Darling Z Test P-Value {col 4}{cmd:r(lmndp)}{col 20}D'Agostino-Pearson LM Test {col 4}{cmd:r(lmndpp)}{col 20}D'Agostino-Pearson LM Test P-Value {col 4}{cmd:r(lmnsvs)}{col 20}Srivastava LM Skewness Test {col 4}{cmd:r(lmnsvsp)}{col 20}Srivastava LM Skewness Test P-Value {col 4}{cmd:r(lmnsms1)}{col 20}Small LM Skewness Test {col 4}{cmd:r(lmnsms1p)}{col 20}Small LM Skewness Test P-Value {col 4}{cmd:r(lmnsms2)}{col 20}Skewness Z Test {col 4}{cmd:r(lmnsms2p)}{col 20}Skewness Z Test P-Value {col 4}{cmd:r(lmnsvk)}{col 20}Srivastava Z Kurtosis Test {col 4}{cmd:r(lmnsvkp)}{col 20}Srivastava Z Kurtosis Test P-Value {col 4}{cmd:r(lmnsmk1)}{col 20}Small LM Kurtosis Test {col 4}{cmd:r(lmnsmk1p)}{col 20}Small LM Kurtosis Test P-Value {col 4}{cmd:r(lmnsmk2)}{col 20}Kurtosis Z Test {col 4}{cmd:r(lmnsmk2p)}{col 20}Kurtosis Z Test P-Value {col 4}{cmd:r(sk)}{col 20}Skewness Coefficient {col 4}{cmd:r(sksd)}{col 20}Skewness Standard Deviation {col 4}{cmd:r(ku)}{col 20}Kurtosis Coefficient {col 4}{cmd:r(kusd)}{col 20}Kurtosis Standard Deviation {col 4}{cmd:r(sn)}{col 20}Standard Deviation Runs Sig(k) {col 4}{cmd:r(en)}{col 20}Mean Runs E(k) {col 4}{cmd:r(lower)}{col 20}Lower 95% Conf. Interval [E(k)- 1.96* Sig(k)] {col 4}{cmd:r(upper)}{col 20}Upper 95% Conf. Interval [E(k)+ 1.96* Sig(k)] {bf:{err:{dlgtab:References}}} {p 4 8 2}Anderson T.W., Darling D.A. (1954) {cmd: "A Test of Goodness of Fit",} {it:Journal of the American Statisical Association, 49}; 765–69. {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}D'Agostino, R. B., & Rosman, B. (1974) {cmd: "The Power of Geary’s Test of Normality",} {it:Biometrika, 61(1)}; 181-184. {p 4 8 2}Damodar Gujarati (1995) {cmd: "Basic Econometrics"} {it:3rd Edition, McGraw Hill, New York, USA}. {p 4 8 2}Geary R.C. (1947) {cmd: "Testing for Normality"} {it:Biometrika, Vol. 34}; 209-242. {p 4 8 2}Geary R.C. (1970) {cmd: "Relative Efficiency of Count of Sign Changes for Assessing Residuals Autoregression in Least Squares Regression"} {it:Biometrika, Vol. 57}; 123-127. {p 4 8 2}Pearson, E. S., D'Agostino, R. B., & Bowman, K. O. (1977) {cmd: "Tests for Departure from Normality: Comparison of Powers",} {it:Biometrika, 64(2)}; 231-246. {bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse lmnnlsur.dta , clear} * (1) NL-SUR Model: {stata nlsur (y1={B10}+{B11}*y2+{B12}*x1+{B13}*x2) (y2={B20}+{B21}*y1+{B22}*x3+{B23}*x4)} {stata lmnnlsur} {stata return list} * (2) SUR Model: {stata sureg (y1 y2 x1 x2) (y2 y1 x3 x4)} {stata lmnnlsur} {stata return list} . clear all . sysuse lmnnlsur.dta , clear . nlsur (y1={B10}+{B11}*y2+{B12}*x1+{B13}*x2) (y2={B20}+{B21}*y1+{B22}*x3+{B23}*x4) FGNLS regression --------------------------------------------------------------------- Equation | Obs Parms RMSE R-sq Constant ----------------+---------------------------------------------------- 1 y1 | 20 4 125.6433 0.8266 B10 2 y2 | 20 4 19.52663 0.7801 B20 --------------------------------------------------------------------- ------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- /B10 | -68.61381 119.3219 -0.58 0.565 -302.4804 165.2528 /B11 | 6.586666 .6994811 9.42 0.000 5.215708 7.957623 /B12 | .0771727 .0496441 1.55 0.120 -.020128 .1744733 /B13 | -.3247027 .2355698 -1.38 0.168 -.7864111 .1370056 /B20 | 11.0109 24.11753 0.46 0.648 -36.25859 58.28038 /B21 | .137451 .0141117 9.74 0.000 .1097926 .1651094 /B22 | -.0018792 .0116164 -0.16 0.871 -.0246469 .0208885 /B23 | -.0024405 .0142685 -0.17 0.864 -.0304061 .0255252 ------------------------------------------------------------------------------ . lmnnlsur ============================================================================== * System NL-SUR Non Normality Tests ============================================================================== *** Single Equation Non Normality Tests: Ho: Normality - Ha: Non Normality Eq. 1 : Jarque-Bera LM Test = 1.5868 P-Value > Chi2(2) 0.4523 Eq. 2 : Jarque-Bera LM Test = 2.3209 P-Value > Chi2(2) 0.3133 ------------------------------------------------------------------------------ ============================================================================== *** Overall System NL-SUR Non Normality Tests: Ho: No Overall System Non Normality ------------------------------------------------------------------------------ *** Non Normality Tests: - Jarque-Bera LM Test = 33.3557 P-Value > Chi2(2) 0.0000 - Doornik-Hansen LM Test = 22.9825 P-Value > Chi2(2) 0.0000 - Geary LM Test = -0.9475 P-Value > Chi2(2) 0.6227 - Anderson-Darling Z Test = 1.8507 P > Z( 3.693) 0.9999 - D'Agostino-Pearson LM Test = 15.0782 P-Value > Chi2(2) 0.0005 ------------------------------------------------------------------------------ *** Skewness Tests: - Srivastava LM Skewness Test = 4.0267 P-Value > Chi2(1) 0.0448 - Small LM Skewness Test = 4.4539 P-Value > Chi2(1) 0.0348 - Skewness Z Test = -2.1104 P-Value > Chi2(1) 0.0348 ------------------------------------------------------------------------------ *** Kurtosis Tests: - Srivastava Z Kurtosis Test = 5.4156 P-Value > Z(0,1) 0.0000 - Small LM Kurtosis Test = 10.6242 P-Value > Chi2(1) 0.0011 - Kurtosis Z Test = 3.2595 P-Value > Chi2(1) 0.0011 ------------------------------------------------------------------------------ Skewness Coefficient = -0.7772 - Standard Deviation = 0.3738 Kurtosis Coefficient = 7.1949 - Standard Deviation = 0.7326 ------------------------------------------------------------------------------ Runs Test: (18) Runs - (19) Positives - (21) Negatives Standard Deviation Runs Sig(k) = 3.1135 , Mean Runs E(k) = 20.9500 95% Conf. Interval [E(k)+/- 1.96* Sig(k)] = (14.8476 , 27.0524 ) ------------------------------------------------------------------------------ {bf:{err:{dlgtab:Author}}} {hi:Emad Abd Elmessih Shehata} {hi:Assistant Professor} {hi:Agricultural Research Center - Agricultural Economics Research Institute - Egypt} {hi:Email: {browse "mailto:emadstat@hotmail.com":emadstat@hotmail.com}} {hi:WebPage:{col 27}{browse "http://emadstat.110mb.com/stata.htm"}} {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"}} {bf:{err:{dlgtab:lmnnlsur Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih (2012)}{p_end} {p 1 10 1}{cmd:LMNNLSUR: "Overall System NL-SUR Non Normality Tests"}{p_end} {title:Online Help:} {p 2 10 2} {helpb lmanlsur}, {helpb lmhnlsur}, {helpb lmnnlsur}, {helpb lmcovnlsur}, {helpb r2nlsur}{p_end} {p 2 10 2} {helpb lmareg3}, {helpb lmhreg3}, {helpb lmnreg3}, {helpb lmcovreg3}, {helpb r2reg3}{p_end} {p 2 10 2} {helpb lmasem}, {helpb lmhsem}, {helpb lmnsem}, {helpb lmcovsem}, {helpb r2sem}. {opt (if installed)}.{p_end} {psee} {p_end}