{smcl} {hline} {cmd:help: {helpb lmabp}}{space 55} {cmd:dialog:} {bf:{dialog lmabp}} {hline} {bf:{err:{dlgtab:Title}}} {bf: lmabp: Box-Pierce Autocorrelation LM Test at Higher Order AR(p)} {bf:{err:{dlgtab:Syntax}}} {p 8 16 2} {opt lmabp} {depvar} {indepvars} {ifin} {weight} , [ {opt lag:s(numlist)} {opt nocons:tant} {opth vce(vcetype)} ]{p_end} {bf:{err:{dlgtab:Options}}} {synoptset 20 tabbed}{...} {synopt :{opt lag:s(#)}}determine Order of Lag Length; default is lag(1).{p_end} {synopt :{opt nocons:tant}}suppress constant term{p_end} {syntab:SE/Robust} {synopt :{opth vce(vcetype)}}{it:vcetype} may be {opt ols}, {opt r:obust}, {opt cl:uster} {it:clustvar}, {opt boot:strap}, {opt jack:knife}, {opt hc2}, or {opt hc3}{p_end} {bf:{err:{dlgtab:Description}}} {p 2 2 2}{cmd:lmabp} computes Box-Pierce Autocorrelation LM Test after {helpb regress} command.{p_end} {p 2 2 2}{cmd:lmabp} detects autocorrelation at Higher Order AR(p), more than AR(1).{p_end} J {cmd: 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. {bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:lmadurh} saves the following in {cmd:r()}: {synoptset 12 tabbed}{...} {p2col 5 10 10 2: Scalars}{p_end} {synopt:{cmd:r(rho_#)}}Rho Value at Order AR(i){p_end} {synopt:{cmd:r(bp_#)}}Box-Pierce Autocorrelation LM Test at Order AR(i){p_end} {synopt:{cmd:r(bpp_#)}}Box-Pierce Autocorrelation LM Test P-Value at Order AR(i){p_end} {bf:{err:{dlgtab:Examples}}} {stata clear all} {stata db lmabp} {stata sysuse lmabp.dta , clear} {stata lmabp y x1 x2 , lags(1)} {stata lmabp y x1 x2 , lags(4)} {stata 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 ------------------------------------------------------------ {bf:{err:{dlgtab:References}}} {p 4 8 2}Damodar Gujarati (1995) {cmd: "Basic Econometrics"} {it:3rd Edition, McGraw Hill, New York, USA}; 717. {p 4 8 2}Box, George & Pierce D. (1970) {cmd: "Distribution of Residual Autocorrelations in Autoregressive Integrated Moving Average Time Series Models",} {it:J. Am. Stat. Assoc., Vol. 65}; 1509-1526. {bf:{err:{dlgtab:Author}}} {hi:Emad Abd Elmessih Shehata} {hi:Assistant Professor} {hi:Agricultural Research Center - Agricultural Economics Research Institute - Egypt} {hi:Email: {browse "mailto:emadstat@hotmail.com":emadstat@hotmail.com}} {hi:WebPage:{col 27}{browse "http://emadstat.110mb.com/stata.htm"}} {hi:WebPage at IDEAS:{col 27}{browse "http://ideas.repec.org/f/psh494.html"}} {hi:WebPage at EconPapers:{col 27}{browse "http://econpapers.repec.org/RAS/psh494.htm"}} {bf:{err:{dlgtab:lmabp Citation}}} {phang}Shehata, Emad Abd Elmessih (2011){p_end} {phang}{cmd: "lmabp: Stata Module to Compute Box-Pierce Autocorrelation LM Test at Higher Order AR(p) after OLS Regression"}{p_end} {title:Also see} {p 4 12 2}Online: {helpb lmareg3}, {helpb lmadurh}, {helpb lmalb}, {helpb lmabp}, {helpb lmadw}, {helpb lmavon} {opt (if installed)}.{p_end} {psee} {p_end}