*! lmabg V1.0 01/05/2014
*!
*! 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

*! Sahra Khaleel A. Mickaiel
*! Professor (PhD Economics)
*! Cairo University - Faculty of Agriculture - Department of Economics - Egypt
*! Email: sahra_atta@hotmail.com
*! WebPage at IDEAS:      http://ideas.repec.org/f/pmi520.html
*! WebPage at EconPapers: http://econpapers.repec.org/RAS/pmi520.htm

program define lmabg , eclass
version 11.0
syntax varlist [if] [in] , [NOCONStant LAGs(int 1) coll]
gettoken yvar xvar : varlist
qui marksample touse
qui markout `touse' `varlist' , strok
local both : list yvar & xvar
if "`both'" != "" {
di
di as err " {bf:{cmd:`both'} included in both LHS and RHS Variables}"
di as res " LHS: `yvar'"
di as res " RHS: `xvar'"
 exit
 }
if "`xvar'"=="" {
di as err " {bf:Independent Variable(s) must be combined with Dependent Variable}"
 exit
 }
tempvar DE DF1 DW DX E LDE LE LEo SSE Time wald weit Wi
tempvar Wio WS X0 Yb Yh Yhb Yho YY YYm YYv Yh_ML Ue_ML TimeN
tempname b B b1 b2 Beta Bx Cov D Ds DX E E1 F
tempname h Hat HT ICOR IPhi J K L M M1 M2 n NY OM P Phi Pm Q
tempname Sig2 Sig2o Sig2o1 W W1 Wald We Wi Wi1 Wio
tempname X X0 Y Yh Nn N kx DF kb SSEo llf SST1 SST2 V v1
qui cap count if `touse'
local N = r(N)
scalar `Nn'=`N'
qui gen `TimeN'=_n
qui gen `Time'=_n if `touse'
qui tsset `Time'
qui gen `X0'=1 if `touse'
matrix `X0'= J(`N',1,1)
 if "`coll'"=="" {
_rmcoll `varlist' , `noconstant' `coll' forcedrop
 local varlist "`r(varlist)'"
gettoken yvar xvar : varlist
 }
local kx : word count `xvar'
mkmat `yvar' if `touse' , matrix(`Y')
if "`noconstant'"!="" {
qui mkmat `xvar' if `touse' , matrix(`X')
scalar `DF'=`N'-`kx'
scalar `kb'=`kx'
 }
 else {
qui mkmat `xvar' `X0' if `touse' , matrix(`X')
scalar `DF'=`N'-`kx'-1
scalar `kb'=`kx'+1
 }
qui gen `Wi'=1 if `touse'
qui gen `weit' = 1 if `touse'
mkmat `Wi' if `touse' , matrix(`Wi')
matrix `Wi'=diag(`Wi')
tempname SSEo Sigo r2bu r2bu_a r2raw r2raw_a R20 f fp wald waldp
tempname r2v r2v_a fv fvp r2h r2h_a fh fhp SSTm SSE1 SST11 SST21 Rho
tempname SSEo Sigo r2bu r2bu_a r2raw r2raw_a R20 f fp wald waldp
tempname r2v r2v_a fv fvp r2h r2h_a fh fhp SSTm SSE1 SST11 SST21 Rho
di
di _dup(78) "{bf:{err:=}}"
di as txt "{bf:{err:* Ordinary Least Squares (OLS)}}"
di _dup(78) "{bf:{err:=}}"
matrix `B'=invsym(`X''*`X')*`X''*`Y'
matrix `E'=`Y'-`X'*`B'
matrix `Yh_ML'=`X'*`B'
matrix `Ue_ML'=`E'
qui svmat `Yh_ML' , name(`Yh_ML')
qui svmat `Ue_ML' , name(`Ue_ML')
qui rename `Yh_ML'1 `Yh_ML'
qui rename `Ue_ML'1 `Ue_ML'
matrix `SSE'=`E''*`E'
scalar `SSEo'=`SSE'[1,1]
scalar `Sig2o'=`SSEo'/`DF'
scalar `Sigo'=sqrt(`Sig2o')
matrix `Cov'=`Sig2o'*inv(`X''*`X')
qui summ `Yh_ML' if `touse'
local NUM=r(Var)
qui summ `yvar' if `touse'
local DEN=r(Var)
scalar `r2v'=`NUM'/`DEN'
scalar `r2v_a'=1-((1-`r2v')*(`N'-1)/`DF')
scalar `fv'=`r2v'/(1-`r2v')*(`N'-`kb')/(`kx')
scalar `fvp'=Ftail(`kx', `DF', `fv')
qui correlate `Yh_ML' `yvar' if `touse'
scalar `r2h'=r(rho)*r(rho)
scalar `r2h_a'=1-((1-`r2h')*(`N'-1)/`DF')
scalar `fh'=`r2h'/(1-`r2h')*(`N'-`kb')/(`kx')
scalar `fhp'=Ftail(`kx', `DF', `fh')
qui summ `yvar' if `touse'
local Yb=r(mean)
qui gen `YYm'=(`yvar'-`Yb')^2 if `touse'
qui summ `YYm' if `touse'
qui scalar `SSTm' = r(sum)
qui gen `YYv'=(`yvar')^2 if `touse'
qui summ `YYv' if `touse'
local SSTv = r(sum)
qui summ `weit' if `touse'
qui gen `Wi1'=sqrt(`weit'/r(mean)) if `touse'
mkmat `Wi1' if `touse' , matrix(`Wi1')
matrix `P' =diag(`Wi1')
qui gen `Wio'=(`Wi1') if `touse'
mkmat `Wio' if `touse' , matrix(`Wio')
matrix `Wio'=diag(`Wio')
matrix `Pm' =`Wio'
matrix `IPhi'=`P''*`P'
matrix `Phi'=inv(`P''*`P')
matrix `J'= J(`N',1,1)
matrix `D'=(`J'*`J''*`IPhi')/`N'
matrix `SSE'=`Ue_ML''*`IPhi'*`Ue_ML'
matrix `SST1'=(`Y'-`D'*`Y')'*`IPhi'*(`Y'-`D'*`Y')
matrix `SST2'=(`Y''*`Y')
scalar `SSE1'=`SSE'[1,1]
scalar `SST11'=`SST1'[1,1]
scalar `SST21'=`SST2'[1,1]
scalar `r2bu'=1-`SSE1'/`SST11'
 if `r2bu'< 0 {
scalar `r2bu'=`r2h'
 }
scalar `r2bu_a'=1-((1-`r2bu')*(`N'-1)/`DF')
scalar `r2raw'=1-`SSE1'/`SST21'
scalar `r2raw_a'=1-((1-`r2raw')*(`N'-1)/`DF')
scalar `r2bu'=`r2bu'
scalar `f'=`r2bu'/(1-`r2bu')*(`N'-`kb')/`kx'
scalar `fp'= Ftail(`kx', `DF', `f')
scalar `wald'=`f'*`kx'
scalar `waldp'=chi2tail(`kx', abs(`wald'))
scalar `llf'=-(`N'/2)*log(2*_pi*`SSEo'/`N')-(`N'/2)
local Nof =`N'
local Dof =`DF'
matrix `B'=`B''
if "`noconstant'"!="" {
matrix colnames `Cov' = `xvar'
matrix rownames `Cov' = `xvar'
matrix colnames `B'   = `xvar'
 }
 else {
matrix colnames `Cov' = `xvar' _cons
matrix rownames `Cov' = `xvar' _cons
matrix colnames `B'   = `xvar' _cons
 }
yxregeq `yvar' `xvar'
di as txt _col(3) "Sample Size" _col(21) "=" %12.0f as res `N'
ereturn post `B' `Cov' , dep(`yvar') obs(`Nof') dof(`Dof')
qui test `xvar'
scalar `f'=r(F)
scalar `fp'= Ftail(`kx', `DF', `f')
scalar `wald'=`f'*`kx'
scalar `waldp'=chi2tail(`kx', abs(`wald'))
di as txt _col(3) "{cmd:Wald Test}" _col(21) "=" %12.4f as res `wald' _col(37) "|" _col(41) as txt "P-Value > {cmd:Chi2}(" as res `kx' ")" _col(65) "=" %12.4f as res `waldp'
di as txt _col(3) "{cmd:F-Test}" _col(21) "=" %12.4f as res `f' _col(37) "|" _col(41) as txt "P-Value > {cmd:F}(" as res `kx' " , " `DF' ")" _col(65) "=" %12.4f as res `fp'
di as txt _col(2) "(Buse 1973) R2" _col(21) "=" %12.4f as res `r2bu' _col(37) "|" as txt _col(41) "Raw Moments R2" _col(65) "=" %12.4f as res `r2raw'
ereturn scalar r2bu =`r2bu'
ereturn scalar r2bu_a=`r2bu_a'
ereturn scalar f =`f'
ereturn scalar fp=`fp'
ereturn scalar wald =`wald'
ereturn scalar waldp=`waldp'
di as txt _col(2) "(Buse 1973) R2 Adj" _col(21) "=" %12.4f as res `r2bu_a' _col(37) "|" as txt _col(41) "Raw Moments R2 Adj" _col(65) "=" %12.4f as res `r2raw_a'
di as txt _col(3) "Root MSE (Sigma)" _col(21) "=" %12.4f as res `Sigo' as txt _col(37) "|" _col(41) "Log Likelihood Function" _col(65) "=" %12.4f as res `llf'
di _dup(78) "-"
di as txt "- {cmd:R2h}=" %7.4f as res `r2h' _col(17) as txt "{cmd:R2h Adj}=" as res %7.4f `r2h_a' as txt _col(34) "{cmd:F-Test} =" %8.2f as res `fh' _col(51) as txt "P-Value > F(" as res `kx' " , " `DF' ")" _col(72) %5.4f as res `fhp'
if `r2v'<1 {
di as txt "- {cmd:R2v}=" %7.4f as res `r2v' _col(17) as txt "{cmd:R2v Adj}=" as res %7.4f `r2v_a' as txt _col(34) "{cmd:F-Test} =" %8.2f as res `fv' _col(51) as txt "P-Value > F(" as res `kx' " , " `DF' ")" _col(72) %5.4f as res `fvp'
ereturn scalar r2v=`r2v'
ereturn scalar r2v_a=`r2v_a'
ereturn scalar fv=`fv'
ereturn scalar fvp=`fvp'
 }
ereturn scalar r2raw =`r2raw'
ereturn scalar r2raw_a=`r2raw_a'
ereturn scalar llf =`llf'
ereturn scalar sig=`Sigo'
ereturn scalar r2h=`r2h'
ereturn scalar r2h_a=`r2h_a'
ereturn scalar fh=`fh'
ereturn scalar fhp=`fhp'
ereturn scalar kb=`kb'
ereturn scalar kx=`kx'
ereturn scalar DF=`DF'
ereturn scalar Nn=_N
ereturn display
matrix `b'=e(b)
matrix `V'=e(V)
matrix `Bx'=e(b)
tempname SSE Rho BB lmabgd lmabgk
local N=`Nn'
qui tsset `Time'
tempvar Yh Yh2 U2 E E2 E3 E4 Es
qui gen `Yh'=`Yh_ML' if `touse'
qui gen `E' =`Ue_ML' if `touse'
cap drop `LE'*
qui forvalue i=1/`lags' {
tempvar E`i' EE`i' LE`i' LEo`i' DE`i' LEE`i'
 gen `E`i''=`E'^`i' if `touse'
 gen `LEo`i''=L`i'.`E' if `touse'
qui replace `LEo`i''= 0 in 1/`i'
 gen `LE`i'' =L`i'.`E' if `touse'
 gen `LEE`i''=L`i'.`E'*`E' if `touse'
 summ `LEE`i'' if `touse'
scalar `SSE'`i'=r(sum)
scalar `Rho'`i'=`SSE'`i'/`SSEo'
tempvar `LEo'`i' `LE'`i'
qui gen `LEo'`i'=L`i'.`E' if `touse'
qui replace `LEo'`i'= 0 in 1/`i'
qui gen `LE'`i' =L`i'.`E' if `touse'
qui regress `E' `LE'* `xvar' if `touse'
scalar `lmabgd'`i'=e(N)*e(r2)
qui regress `E' `LEo'* `xvar' if `touse'
scalar `lmabgk'`i'=e(N)*e(r2)
 }

di _dup(78) "{bf:{err:=}}"
di as txt "{bf:{err:*** OLS Autocorrelation Breusch-Godfrey Test}}"
di _dup(78) "{bf:{err:=}}"
di as txt "{bf: Ho: No Autocorrelation - Ha: Autocorrelation}"
di _dup(78) "-"
if "`lags'"!="" {
forvalue i=1/`lags' {
di as txt "- Rho Value for Order(" `i' ")" _col(40) "AR(" `i' ")=" as res %8.4f `Rho'`i'
ereturn scalar rho`i'=`Rho'`i'
di as txt "- Breusch-Godfrey LM Test (drop `i' obs)" _col(40) "AR(" `i' ")=" as res %8.4f `lmabgd'`i' _col(56) as txt "P-Value >Chi2(`i')" _col(73) as res %5.4f chi2tail(`i', abs(`lmabgd'`i'))
ereturn scalar lmabgd`i'=`lmabgd'`i'
ereturn scalar lmabgdp`i'=chi2tail(`i', abs(`lmabgd'`i'))
di as txt "- Breusch-Godfrey LM Test (keep `i' obs)" _col(40) "AR(" `i' ")=" as res %8.4f `lmabgk'`i' _col(56) as txt "P-Value >Chi2(`i')" _col(73) as res %5.4f chi2tail(`i', abs(`lmabgk'`i'))
ereturn scalar lmabgk`i'=`lmabgk'`i'
ereturn scalar lmabgkp`i'=chi2tail(`i', abs(`lmabgk'`i'))
di _dup(78) "-"
 }
 }
qui tsset `TimeN'
end

program define yxregeq
version 10.0
 syntax varlist
tempvar `varlist'
gettoken yvar xvar : varlist
local LEN=length("`yvar'")
local LEN=`LEN'+3
di "{p 2 `LEN' 5}" as res "{bf:`yvar'}" as txt " = " "
local kx : word count `xvar'
local i=1
 while `i'<=`kx' {
local X : word `i' of `xvar'
 if `i'<`kx' {
di " " as res " {bf:`X'}" _c
di as txt " + " _c
 }
 if `i'==`kx' {
di " " as res "{bf:`X'}"
 }
local i=`i'+1
 }
di "{p_end}"
di as txt "{hline 78}"
end