help: ghxt dialog:

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 - 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

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).