help: lmnwhite dialog:

Title

lmnwhite: OLS White Non Normality Lagrange Multiplier Test

Syntax

lmnwhite 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

lmnwhite computes White Non Normality Test for OLS residuals after regress command.

Saved Results

lmnwhite saves the following in r():

r(lmn) White IM Test
r(lmnp) White IM Test P-Value
r(lmndf) Degrees of Freedom

References

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

Examples

clear all

sysuse lmnwhite.dta, clear

db lmnwhite

lmnwhite y x1 x2

return list

. clear all
. sysuse lmnwhite.dta , clear
. lmnwhite y1 x1 x2

Source | SS df MS Number of obs = 17
-------------+------------------------------ F( 2, 14) = 136.68
Model | 8460.93712 2 4230.46856 Prob > F = 0.0000
Residual | 433.313039 14 30.9509313 R-squared = 0.9513
-------------+------------------------------ Adj R-squared = 0.9443
Total | 8894.25016 16 555.890635 Root MSE = 5.5634

------------------------------------------------------------------------------
y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x1 | 1.061709 .2666739 3.98 0.001 .4897506 1.633668
x2 | -1.382986 .0838143 -16.50 0.000 -1.562749 -1.203222
_cons | 130.7066 27.09429 4.82 0.000 72.59515 188.8181
------------------------------------------------------------------------------

==============================================================================
* OLS White Lagrange Multiplier Non Normality Test
==============================================================================
Ho: Normality - Ha: Non Normality

White LM Test = 1.06961
Degrees of Freedom = 2.0
P-Value > Chi2(2) = 0.58578

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

lmnwhite Citation

Shehata, Emad Abd Elmessih (2012)

LMNWHITE: "Stata Module to Compute White Non Normality Lagrange Multiplier Test after OLS Regression"

Online Help:

lmnjb, lmngry (if installed).