*! version 1.0.1 *! LSTAR Model Test Program for the Command tslstarmod *! Diallo Ibrahima Amadou *! All comments are welcome, 18Sep2019 capture program drop tslstarmodtest program tslstarmodtest, rclass sortpreserve version 15.1 syntax varlist(ts) [if] [in], thresv(varname numeric ts) maxlags(integer) marksample touse markout `touse' `thresv' gettoken lhs rhs : varlist quietly { tsset regress `lhs' `rhs' if `touse' tempvar ereslr predict double `ereslr' if `touse', residuals tsset regress `ereslr' `rhs' c.(`rhs')#c.`thresv' c.(`rhs')#c.`thresv'#c.`thresv' c.(`rhs')#c.`thresv'#c.`thresv'#c.`thresv' if `touse' tempname xsqstat degfls probxsqstat scalar `xsqstat' = e(N)*e(r2) scalar `degfls' = 3*`maxlags' scalar `probxsqstat' = chi2tail(`degfls',`xsqstat') } return clear display display in gr "Lagrange Multiplier Test for the Existence of LSTAR Model" display display _skip(4) in gr "Chi2(" as res 2 as txt ")" _skip(1) as txt "=" as res %10.4f `xsqstat' display in gr "Prob > chi2" _skip(1) "=" as res %10.4f `probxsqstat' display display in gr "Ho: Presence of Linearity" display in gr "Ha: Presence of LSTAR Model" return scalar chi2 = `xsqstat' return scalar chi2_p = `probxsqstat' return scalar df = `degfls' end