help: lmabgxt dialog:

Title

lmabgxt: Panel Data Autocorrelation Breusch-Godfrey Test

Table of Contents

Syntax

Description

Options

Saved Results

References

*** Examples

Authors

Syntax

lmabgxt depvar indepvars [if] [in] [weight] , id(var) it(var)
[ noconstant coll ]

Description

lmabgxt computes Panel Data Autocorrelation Breusch-Godfrey Test.

* Ho: No AR(1) Panel AutoCorrelation - Ha: AR(1) Panel AutoCorrelation
- Breusch-Godfrey LM Test (drop 1 cs obs)
- Breusch-Godfrey LM Test (keep 1 cs obs)

R2, R2 Adjusted, and F-Test, are obtained from 4 ways:

1- (Buse 1973) R2.

2- Raw Moments R2.

3- squared correlation between predicted (Yh) and observed dependent variable (Y).

4- Ratio of variance between predicted (Yh) and observed dependent variable (Y).

- Adjusted R2: R2_a=1-(1-R2)*(N-1)/(N-K-1).

- F-Test=R2/(1-R2)*(N-K-1)/(K).

Options

* id(var) Cross Sections ID variable name
* it(var) Time Series ID variable name

coll keep collinear variables; default is removing collinear variables.

noconstant Exclude Constant Term from Equation

Saved Results

lmabgxt saves the following results in e():

*** Panel Serial Autocorrelation Tests:
e(rho) Panel Rho Value
e(lmabgd) Breusch-Godfrey LM Test (drop 1 cs obs)
e(lmabgdp) Breusch-Godfrey LM Test (drop 1 cs obs) P-Value
e(lmabgk) Breusch-Godfrey LM Test (keep 1 cs obs)
e(lmabgkp) Breusch-Godfrey LM Test (keep 1 cs obs) P-Value

References

Breusch, Trevor (1978)
"Testing for Autocorrelation in Dynamic Linear Models",
Aust. Econ. Papers, Vol. 17; 334-355.

Breusch, Trevor & Adrian Pagan (1980)
"The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics",
Review of Economic Studies 47; 239-253.

Damodar Gujarati (1995)
"Basic Econometrics"
3rd Edition, McGraw Hill, New York, USA.

Godfrey, L. (1978)
"Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables",
Econometrica, Vol., 46; 1303-1310.

Greene, William (1993)
"Econometric Analysis",
2nd ed., Macmillan Publishing Company Inc., New York, USA; 616-618.

Greene, William (2007)
"Econometric Analysis",
6th ed., Upper Saddle River, NJ: Prentice-Hall; 387-388.

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; 615.

Kmenta, Jan (1986)
"Elements of Econometrics",
2nd ed., Macmillan Publishing Company, Inc., New York, USA; 718.

Examples

clear all

sysuse lmabgxt.dta, clear

db lmabgxt

lmabgxt y x1 x2 , id(id) it(t)

. clear all
. sysuse lmabgxt.dta, clear
. lmabgxt y x1 x2 , id(id) it(t)

==============================================================================
* Ordinary Least Squares (OLS) Regression
==============================================================================
y = x1 + x2
------------------------------------------------------------------------------
Sample Size = 49 | Cross Sections Number = 7
Wald Test = 58.0055 | P-Value > Chi2(2) = 0.0000
F-Test = 29.0028 | P-Value > F(2 , 47) = 0.0000
(Buse 1973) R2 = 0.5524 | Raw Moments R2 = 0.9186
(Buse 1973) R2 Adj = 0.5429 | Raw Moments R2 Adj = 0.9169
Root MSE (Sigma) = 11.3127 | Log Likelihood Function = -187.3772
------------------------------------------------------------------------------
- R2h= 0.5524 R2h Adj= 0.5429 F-Test = 28.39 P-Value > F(2 , 47) 0.0000
- R2v= 0.5524 R2v Adj= 0.5429 F-Test = 28.39 P-Value > F(2 , 47) 0.0000
------------------------------------------------------------------------------
y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x1 | -.2739317 .1020949 -2.68 0.010 -.4793201 -.0685434
x2 | -1.597311 .3305569 -4.83 0.000 -2.262305 -.932316
_cons | 68.61898 4.684835 14.65 0.000 59.1943 78.04365
------------------------------------------------------------------------------

==============================================================================
*** Panel Data Autocorrelation Breusch-Godfrey Test
==============================================================================
Ho: No AR(1) Panel AutoCorrelation - Ha: AR(1) Panel AutoCorrelation

- Panel Rho Value = 0.4233
- Breusch-Godfrey LM Test (drop 1 cs obs) = 8.9242 P-Value > Chi2(1) 0.0028
- Breusch-Godfrey LM Test (keep 1 cs obs) = 9.8257 P-Value > Chi2(1) 0.0017
------------------------------------------------------------------------------

Authors

- 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

LMABGXT Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2015)

LMABGXT: "Stata Module to Compute Panel Data Autocorrelation Breusch-Godfrey Test"

Online Help:

* Autocorrelation Tests:

* (1) (OLS) * Ordinary Least Squares Tests:
lmareg OLS Autocorrelation Tests
lmabp OLS Autocorrelation Box-Pierce Test
lmabg OLS Autocorrelation Breusch-Godfrey Test
lmabpg OLS Autocorrelation Breusch-Pagan-Godfrey Test
lmadurh OLS Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests
lmadurm OLS Autocorrelation Dynamic Durbin m Test
lmadw OLS Autocorrelation Durbin-Watson Test
lmalb OLS Autocorrelation Ljung-Box Test
lmavon OLS Autocorrelation Von Neumann Ratio Test
lmaz OLS Autocorrelation Z Test
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* (2) (NLS) * Non Linear Least Squares Tests:
lmanls Non Linear Least Squares Autocorrelation Tests
lmabpnl NLS Autocorrelation Box-Pierce Test
lmabgnl NLS Autocorrelation Breusch-Godfrey Test
lmabpgnl NLS Autocorrelation Breusch-Pagan-Godfrey Test
lmadurmnl NLS Autocorrelation Dynamic Durbin m Test
lmadwnl NLS Autocorrelation Durbin-Watson Test
lmalbnl NLS Autocorrelation Ljung-Box Test
lmavonnl NLS Autocorrelation Von Neumann Ratio Test
lmaznl NLS Autocorrelation Z Test
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* (3) (MLE) * Maximum Likelihood Estimation Tests:
lmamle MLE Autocorrelation Tests
lmabpml MLE Autocorrelation Box-Pierce Test
lmabgml MLE Autocorrelation Breusch-Godfrey Test
lmabpgml MLE Autocorrelation Breusch-Pagan-Godfrey Test
lmadurhml MLE Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests
lmadurmml MLE Autocorrelation Dynamic Durbin m Test
lmadwml MLE Autocorrelation Durbin-Watson Test
lmalbml MLE Autocorrelation Ljung-Box Test
lmavonml MLE Autocorrelation Von Neumann Ratio Test
lmazml MLE Autocorrelation Z Test
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* (4) (2SLS-IV) * Two-Stage Least Squares & Instrumental Variables Tests:
lmareg2 2SLS-IV Autocorrelation Tests
lmabg2 2SLS-IV Autocorrelation Breusch-Godfrey Test
lmabp2 2SLS-IV Autocorrelation Box-Pierce Test
lmabpg2 2SLS-IV Autocorrelation Breusch-Pagan-Godfrey Test
lmadurh2 2SLS-IV Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests
lmadurm2 2SLS-IV Autocorrelation Dynamic Durbin m Test
lmadw2 2SLS-IV Autocorrelation Durbin-Watson Test
lmalb2 2SLS-IV Autocorrelation Ljung-Box Test
lmavon2 2SLS-IV Von Neumann Ratio Autocorrelation Test
lmaz2 2SLS-IV Autocorrelation Z Test
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* (5) Panel Data Tests:
lmaxt Panel Data Autocorrelation Tests
lmabxt Panel Data Autocorrelation Baltagi Test
lmabgxt Panel Data Autocorrelation Breusch-Godfrey Test
lmabpxt Panel Data Autocorrelation Box-Pierce Test
lmabpgxt Panel Data Autocorrelation Breusch-Pagan-Godfrey Test
lmadurhxt Panel Data Autocorrelation Dynamic Durbin h and Harvey LM Tests
lmadurmxt Panel Data Autocorrelation Dynamic Durbin m Test
lmadwxt Panel Data Autocorrelation Durbin-Watson Test
lmavonxt Panel Data Von Neumann Ratio Autocorrelation Test
lmawxt Panel Data Autocorrelation Wooldridge Test
lmazxt Panel Data Autocorrelation Z Test
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* (6) (3SLS-SUR) * Simultaneous Equations Tests:
lmareg3 (3SLS-SUR) Overall System Autocorrelation Tests
lmhreg3 (3SLS-SUR) Overall System Heteroscedasticity Tests
lmnreg3 (3SLS-SUR) Overall System Non Normality Tests
lmcovreg3 (3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix
r2reg3 (3SLS-SUR) Overall System R2, F-Test, and Chi2-Test
diagreg3 (3SLS-SUR) Overall System ModeL Selection Diagnostic Criteria
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* (7) (SEM-FIML) * Structural Equation Modeling Tests:
lmasem (SEM-FIML) Overall System Autocorrelation Tests
lmhsem (SEM-FIML) Overall System Heteroscedasticity Tests
lmnsem (SEM-FIML) Overall System Non Normality Tests
lmcovsem (SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test
r2sem (SEM-FIML) Overall System R2, F-Test, and Chi2-Test
diagsem (SEM-FIML) Overall System ModeL Selection Diagnostic Criteria
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* (8) (NL-SUR) * Non Linear Seemingly Unrelated Regression Tests:
lmanlsur (NL-SUR) Overall System Autocorrelation Tests
lmhnlsur (NL-SUR) Overall System Heteroscedasticity Tests
lmnnlsur (NL-SUR) Overall System Non Normality Tests
lmcovnlsur (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test
r2nlsur (NL-SUR) Overall System R2, F-Test, and Chi2-Test
diagnlsur (NL-SUR) Overall System ModeL Selection Diagnostic Criteria
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* (9) (VAR) * Vector Autoregressive Model Tests:
lmavar (VAR) Overall System Autocorrelation Tests
lmhvar (VAR) Overall System Heteroscedasticity Tests
lmnvar (VAR) Overall System Non Normality Tests
lmcovvar (VAR) Breusch-Pagan Diagonal Covariance Matrix Test
r2var (VAR) Overall System R2, F-Test, and Chi2-Test
diagvar (VAR) Overall System ModeL Selection Diagnostic Criteria
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