help: lmsrd dialog:

Title

lmsrd: Spurious Regression Diagnostic

Syntax

lmsrd 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

lmsrd computes Spurious Regression Diagnostic after regress command.

Saved Results

lmadurh saves the following in r():

Scalars

r(rho) Rho Value

r(dw) Durbin-Watson Test

r(r2) R-squared

References

Damodar Gujarati (1995)
"Basic Econometrics"
3rd Edition, McGraw Hill, New York, USA; 724-726.

Maddala, G. (1992)
"Introduction to Econometrics",
2nd ed., Macmillan Publishing Company, New York, USA; 245.

Examples

clear all

db lmsrd

sysuse lmsrd.dta , clear

lmsrd y x1 x2

return list

==============================================================================
* Ordinary Least Squares (OLS)
==============================================================================
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 Spurious Regression Diagnostic
==============================================================================
Ho: No Spurious Regression: R2 < DW
Ha: Spurious Regression: R2 > DW

---------------------------------------------------------------------------
* Rho Value = -0.14548
* R-squared = 0.95128
* Durbin-Watson Test = 2.01855 df: (3 , 17)
---------------------------------------------------------------------------
No Spurious Regression: R2 (0.9513) < DW (2.0185)

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

lmsrd Citation

Shehata, Emad Abd Elmessih (2012)

LMSRD: "Spurious Regression Diagnostic"