help: diagreg dialog:

Title

diagreg: OLS Model Selection Diagnostic Criteria

Table of Contents

Syntax

Options

Description

Saved Results

References

*** Examples

Author

Syntax

diagreg depvar indepvars [if] [in] , [ noconstant coll ]

Options

noconstant suppress constant term

coll Keep Collinear Variables

Description

diagreg computes OLS Model Selection diagnostic criteria, after OLS regression.

- Log Likelihood Function LLF
- Akaike Information Criterion (1974) AIC
- Akaike Information Criterion (1973) Log AIC
- Schwarz Criterion (1978) SC
- Schwarz Criterion (1978) Log SC
- Amemiya Prediction Criterion (1969) FPE
- Hannan-Quinn Criterion (1979) HQ
- Rice Criterion (1984) Rice
- Shibata Criterion (1981) Shibata
- Craven-Wahba Generalized Cross Validation (1979) GCV

Saved Results

diagreg saves the following in e():

Scalars
e(N) number of observations
e(r2bu) R-squared (Buse 1973)
e(r2bu_a) R-squared Adj (Buse 1973)
e(r2raw) Raw Moments R2
e(r2raw_a) Raw Moments R2 Adj
e(f) F-test
e(fp) F-test P-Value
e(wald) Wald-test
e(waldp) Wald-test P-Value
e(r2h) R2 Between Predicted (Yh) and Observed DepVar (Y)
e(r2h_a) Adjusted r2h
e(fh) F-test due to r2h
e(fhp) F-test due to r2h P-Value
e(r2v) R2 Variance Ratio Between Predicted (Yh) and Observed DepVar (Y)
e(r2v_a) Adjusted r2v
e(fv) F-test due to r2v
e(fvp) F-test due to r2v P-Value
e(sig) Root MSE (Sigma)

e(llf) Log Likelihood Function LLF
e(aic) Akaike Information Criterion (1974) AIC
e(laic) Akaike Information Criterion (1973) Log AIC
e(sc) Schwarz Criterion (1978) SC
e(lsc) Schwarz Criterion (1978) Log SC
e(fpe) Amemiya Prediction Criterion (1969) FPE
e(hq) Hannan-Quinn Criterion (1979) HQ
e(rice) Rice Criterion (1984) Rice
e(shibata) Shibata Criterion (1981) Shibata
e(gcv) Craven-Wahba Generalized Cross Validation (1979) GCV

Matrixes
e(b) coefficient vector
e(V) variance-covariance matrix of the estimators

References

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.

Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985)
"The Theory and Practice of Econometrics",
2nd ed., John Wiley & Sons, Inc., New York, USA; 242.

Examples

clear all

db diagreg

sysuse diagreg.dta, clear

diagreg y x1 x2

ereturn list

==============================================================================
* Ordinary Least Squares (OLS)
==============================================================================
y = x1 + x2
------------------------------------------------------------------------------
Sample Size = 17
Wald Test = 273.3662 | P-Value > Chi2(2) = 0.0000
F-Test = 136.6831 | P-Value > F(2 , 14) = 0.0000
(Buse 1973) R2 = 0.9513 | Raw Moments R2 = 0.9986
(Buse 1973) R2 Adj = 0.9443 | Raw Moments R2 Adj = 0.9984
Root MSE (Sigma) = 5.5634 | Log Likelihood Function = -51.6471
------------------------------------------------------------------------------
- R2h= 0.9513 R2h Adj= 0.9443 F-Test = 136.68 P-Value > F(2 , 14) 0.0000
- R2v= 0.9513 R2v Adj= 0.9443 F-Test = 136.68 P-Value > F(2 , 14) 0.0000
------------------------------------------------------------------------------
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 Model Selection Diagnostic Criteria
==============================================================================
- Log Likelihood Function LLF = -51.6471
---------------------------------------------------------------------------
- Akaike Information Criterion (1974) AIC = 36.2772
- Akaike Information Criterion (1973) Log AIC = 3.5912
---------------------------------------------------------------------------
- Schwarz Criterion (1978) SC = 42.0234
- Schwarz Criterion (1978) Log SC = 3.7382
---------------------------------------------------------------------------
- Amemiya Prediction Criterion (1969) FPE = 36.4129
- Hannan-Quinn Criterion (1979) HQ = 36.8113
- Rice Criterion (1984) Rice = 39.3921
- Shibata Criterion (1981) Shibata = 34.4851
- Craven-Wahba Generalized Cross Validation (1979) GCV = 37.5833
------------------------------------------------------------------------------

Author

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

DIAGREG Citation

Shehata, Emad Abd Elmessih (2012)

DIAGREG: "Stata Module to Compute OLS Model Selection Diagnostic Criteria"

http://ideas.repec.org/c/boc/bocode/s457358.html

http://econpapers.repec.org/software/bocbocode/s457358.htm

Online Help:

* Model Selection Diagnostic Criteria:
diagmle MLE Model Selection Diagnostic Criteria
diagnl NLS Model Selection Diagnostic Criteria
diagnlsur (NL-SUR) Overall System Model Selection Diagnostic Criteria
diagreg OLS Model Selection Diagnostic Criteria
diagreg2 2SLS-IV Model Selection Diagnostic Criteria
diagreg3 (3SLS-SUR) Overall System Model Selection Diagnostic Criteria
diagsem (SEM-FIML) Overall System Model Selection Diagnostic Criteria
diagvar (VAR) Overall System Model Selection Diagnostic Criteria
diagxt Panel Data Model Selection Diagnostic Criteria
---------------------------------------------------------------------------
* Linear vs Log-Linear Functional Form Tests:
lmfmle MLE Linear vs Log-Linear Functional Form Tests
lmfreg OLS Linear vs Log-Linear Functional Form Tests
lmfreg2 2SLS-IV Linear vs Log-Linear Functional Form Tests
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lmhaus2 2SLS-IV Hausman Specification Test
lmhausxt Panel Data Hausman Specification Test
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lmiden2 2SLS-IV Over Identification Restrictions Tests
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lmeg Augmented Engle-Granger Cointegration Test
lmgc 2SLS-IV Granger Causality Test
lmsrd OLS Spurious Regression Diagnostic
---------------------------------------------------------------------------
* REgression Specification Error Tests (RESET):
reset OLS REgression Specification Error Tests (RESET)
reset2 2SLS-IV REgression Specification Error Tests (RESET)
resetmle MLE REgression Specification Error Tests (RESET)
resetxt Panel Data REgression Specification Error Tests (RESET)
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