-------------------------------------------------------------------------------
help: ghxt                                                        dialog: ghxt
-------------------------------------------------------------------------------

+-------+ ----+ Title +------------------------------------------------------------

ghxt: Panel Groupwise Heteroscedasticity Tests

+-------------------+ ----+ Table of Contents +------------------------------------------------

Syntax Options Description Saved Results References

*** Examples

Author

+--------+ ----+ Syntax +-----------------------------------------------------------

ghxt depvar indepvars [if] [in] [weight] , id(#) [ noconstant vce( vcetype) ]

+---------+ ----+ Options +----------------------------------------------------------

* id(#) Number of Cross Sections in the Model

noconstant Exclude Constant Term from Equation

vce(vcetype) ols, robust, cluster, bootstrap, jackknife, hc2, hc3

+-------------+ ----+ Description +------------------------------------------------------

ghxt computes the following Panel Groupwise Heteroscedasticity Tests.

* Ho: Panel Homoscedasticity - Ha: Panel Groupwise Heteroscedasticity - Lagrange Multiplier LM Test - Likelihood Ratio LR Test - Wald Test

+---------------+ ----+ Saved Results +----------------------------------------------------

ghxt saves the following Panel Groupwise Heteroscedasticity Tests in r():

r(lmhglm) Lagrange Multiplier LM Test r(lmhglmp) Lagrange Multiplier LM Test P-Value r(lmhglr) Likelihood Ratio LR Test r(lmhglrp) Likelihood Ratio LR Test P-Value r(lmhgw) Wald Test r(lmhgwp) Wald Test P-Value

+------------+ ----+ References +-------------------------------------------------------

Greene, William (1993) "Econometric Analysis", 2nd ed., Macmillan Publishing Company Inc., New York, USA..

Greene, William (2007) "Econometric Analysis", 6th ed., Macmillan Publishing Company Inc., New York, USA..

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.

+----------+ ----+ Examples +---------------------------------------------------------

clear all

sysuse ghxt.dta, clear

db ghxt

ghxt y x1 , id(4)

============================================================================== * Panel Groupwise Heteroscedasticity Tests ============================================================================== Ho: Homoscedasticity - Ha: Groupwise Heteroscedasticity

- Lagrange Multiplier LM Test = 5.8261 P-Value > Chi2(3) 0.1204 - Likelihood Ratio LR Test = 5.5501 P-Value > Chi2(3) 0.1357 - Wald Test = 9.8611 P-Value > Chi2(4) 0.0428

+--------+ ----+ Author +-----------------------------------------------------------

Emad Abd Elmessih Shehata Assistant Professor Agricultural Research Center - Agricultural Economics Research Institute - Eg > ypt 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

+---------------+ ----+ ghxt Citation +----------------------------------------------------

Shehata, Emad Abd Elmessih (2011) GHXT: "Stata Module to Compute Panel Groupwise Heteroscedasticity Tests"

Online Help:

lmhreg, lmhreg2, lmhreg3, lmhxt, ghxt. (if installed).