-------------------------------------------------------------------------------
help: lmabp                                                        dialog: lmab
> p
-------------------------------------------------------------------------------


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

 lmabp: Box-Pierce Autocorrelation LM Test at Higher Order AR(p)


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

        lmabp depvar indepvars [if] [in] [weight] , [ lags(numlist)
                noconstant vce(vcetype) ]
 

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

      lags(#)             determine Order of Lag Length; default is lag(1).

      noconstant          suppress constant term

    SE/Robust
      vce(vcetype)        vcetype may be ols, robust, cluster clustvar,
                            bootstrap, jackknife, hc2, or hc3


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

  lmabp computes Box-Pierce Autocorrelation LM Test after regress command.
 
  lmabp detects autocorrelation at Higher Order AR(p), more than AR(1).


                              J
    Box-Pierce LM test = N [ Sum(Rho_i) ] ~ Chi2(J)
                             i=1
where
       N = Number of Observations.
       J = Order of Lag Length.
   Rho_i = Autoregressive Coefficient of Lag i.


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

    lmadurh saves the following in r():

    Scalars
      r(rho_#)    Rho Value at Order AR(i)
      r(bp_#)     Box-Pierce Autocorrelation LM Test at Order AR(i)
      r(bpp_#)    Box-Pierce Autocorrelation LM Test P-Value at Order AR(i)


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

        clear all

        db lmabp

        sysuse lmabp.dta , clear

        lmabp y x1 x2 , lags(1)

        lmabp y x1 x2 , lags(4)

        return list


   ===================================================
   * Box-Pierce Autocorrelation LM Test              *
   ===================================================
    Ho: No Autocorrelation - Ha: Autocorrelation
   ------------------------------------------------------------
   * Rho Value for         AR(1) =   -0.1455
   * Box-Pierce LM Test    AR(1) =    0.3598   P>Chi2(1) 0.5486
   ------------------------------------------------------------
   * Rho Value for         AR(2) =   -0.2231
   * Box-Pierce LM Test    AR(2) =    1.2062   P>Chi2(2) 0.5471
   ------------------------------------------------------------
   * Rho Value for         AR(3) =    0.1871
   * Box-Pierce LM Test    AR(3) =    1.8016   P>Chi2(3) 0.6146
   ------------------------------------------------------------
   * Rho Value for         AR(4) =   -0.3002
   * Box-Pierce LM Test    AR(4) =    3.3334   P>Chi2(4) 0.5037
   ------------------------------------------------------------


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

    Damodar Gujarati (1995) "Basic Econometrics" 3rd Edition, McGraw Hill,
        New York, USA; 717.

    Box, George & Pierce D. (1970) "Distribution of Residual Autocorrelations
        in Autoregressive Integrated Moving Average Time Series Models", J.
        Am. Stat. Assoc., Vol. 65; 1509-1526.

        +--------+
    ----+ 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


        +----------------+
    ----+ lmabp Citation +---------------------------------------------------

    Shehata, Emad Abd Elmessih (2011)
    "lmabp: Stata Module to Compute Box-Pierce Autocorrelation LM Test at
        Higher Order AR(p) after OLS Regression"


Also see

    Online: lmareg3, lmadurh, lmalb, lmabp, lmadw, lmavon (if installed).