{smcl} {hline} {cmd:help: {helpb lmadurh}}{space 55} {cmd:dialog:} {bf:{dialog lmadurh}} {hline} {bf:{err:{dlgtab:Title}}} {bf: lmadurh: Dynamic Autocorrelation Tests after (OLS-ALS) Regressions} {bf:{err:{dlgtab:Syntax}}} {p 10 16 2} {opt lmadurh} {depvar} {indepvars} {ifin} {weight} , [ {opt dlag(numlist)} {opt nocons:tant} {opth vce(vcetype)} ]{p_end} {bf:{err:{dlgtab:Options}}} {synoptset 20 tabbed}{...} {synopt :{opt dlag(#)}}determine location of lagged dependent variable among RHS regressors; default is 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:lmadurh} computes dynamic autocorrelation tests after (OLS-ALS) Regression, via Durbin h, Harvey LM, and Wald LM Tests for residuals after {helpb regress} command.{p_end} {p 2 2 2}{cmd:lmadurh} detects autocorrelation after correction the residuals from first order AR(1) autocorrelation, via Autoregressive Least Squares (ALS), i.e., {helpb prais}.{p_end} {p 2 2 2 }Durbin h Test can not be computed, if the square root has negative value.{p_end} ************************************************************** * h > 1.96 (Autocorrelation) * * h < 1.96 (No Autocorrelation) * * h(+3) > +1.96 Positive Autocorrelation * * h(-3) < -1.96 Negative Autocorrelation * * -1.96 < h(+1) < +1.96 No Autocorrelation * ************************************************************** {bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:lmadurh} saves the following in {cmd:e()}: {synoptset 12 tabbed}{...} {p2col 5 10 10 2: Scalars}{p_end} {synopt:{cmd:e(durho)}}Durbin h Test after (OLS) (Lag DepVar){p_end} {synopt:{cmd:e(durhop)}}Durbin h Test after (OLS) (Lag DepVar) P-Value{p_end} {synopt:{cmd:e(hrvho)}}Harvey LM Test after (OLS) (Lag DepVar){p_end} {synopt:{cmd:e(hrvhop)}}Harvey LM Test after (OLS) (Lag DepVar) P-Value{p_end} {synopt:{cmd:e(waldt)}}Wald T Test{p_end} {synopt:{cmd:e(waldtp)}}Wald T Test P-Value{p_end} {synopt:{cmd:e(waldchi)}}Wald Chi2 Test{p_end} {synopt:{cmd:e(waldchip)}}Wald Chi2 Test P-Value{p_end} {synopt:{cmd:e(durha)}}Durbin h Test after ALS(1) (Lag DepVar){p_end} {synopt:{cmd:e(durhap)}}Durbin h Test after ALS(1) (Lag DepVar) P-Value{p_end} {synopt:{cmd:e(hrvha)}}Harvey LM Test after ALS(1) (Lag DepVar){p_end} {synopt:{cmd:e(hrvhap)}}Harvey LM Test after ALS(1) (Lag DepVar) P-Value{p_end} {bf:{err:{dlgtab:Examples}}} {stata clear all} {stata db lmadurh} {stata sysuse lmadurh.dta, clear} {stata lmadurh y y1 x1 x2, dlag(1)} {stata lmadurh y x1 x2 y1, dlag(3)} {stata ereturn list} ============================================================ * Dynamic Autocorrelation Tests after (OLS-ALS) Regression * ============================================================ Ho: No Autocorrelation - Ha: Autocorrelation ---------------------------------------------------------------------- * Durbin h Test AR(1) = -0.351 P>Z 0.3628 * Harvey LM Test AR(1) = 0.123 P>Chi2(1) 0.7256 ---------------------------------------------------------------------- * Wald T Test AR(1) = -0.280 P>Z 0.3896 * Wald Chi2 Test AR(1) = 0.079 P>Z 0.7792 ---------------------------------------------------------------------- * Durbin h Test after ALS(1) AR(1) = -1.260 P>Z 0.1038 * Harvey LM Test after ALS(1) AR(1) = 1.588 P>Chi2(1) 0.2077 ---------------------------------------------------------------------- {bf:{err:{dlgtab:References}}} {p 4 8 2}Durbin, James (1970) {cmd: "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables",} {it:Econometrica, vol.38, no.3, May}; 410-421. {p 4 8 2}Harvey, Andrew (1990) {cmd: "The Econometric Analysis of Time Series",} {it:2nd edition, MIT Press, Cambridge, Massachusetts}; 275-277. {p 4 8 2}Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988) {cmd: "Introduction To The Theory And Practice Of Econometrics",} {it:2nd ed., John Wiley & Sons, Inc., New York, USA}; 401. {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:lmadurh Citation}}} {phang}Shehata, Emad Abd Elmessih (2011){p_end} {phang}{cmd: "lmadurh: Stata Module to Compute Dynamic Durbin h, Harvey LM, and Wald LM Autocorrelation Tests after (OLS-ALS) Regressions"}{p_end} {browse "http://ideas.repec.org/c/boc/bocode/s457346.html"} {browse "http://econpapers.repec.org/software/bocbocode/s457346.htm"} {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}