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help: lmadurh2                                                   dialog: lmadur
> h2
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+-------+ ----+ Title +------------------------------------------------------------

lmadurh2: 2SLS-IV Autocorrelation Dynamic Durbin h, Harvey LM, and Wald Tests

+-------------------+ ----+ Table of Contents +------------------------------------------------

Syntax Description Model GMM Options Other Options Saved Results References

*** Examples

Authors

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

lmadurh2 depvar indepvars (endog = inst) [if] [in] , model(2sls, liml, gmm, melo, fuller, kclass) [ dlag(#) kc(#) kf(#) hetcov(type) noconstant noconexog ]

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

lmadurh2 computes 2SLS-IV Autocorrelation Dynamic Durbin h, Harvey LM, and Wald Tests for instrumental variables regression models, via 2sls, liml, melo, gmm, and kclass.

Ho: No Autocorrelation - Ha: Autocorrelation - Durbin h Test (Lag DepVar) - Durbin h Test after ALS(1) - Harvey LM Test (Lag DepVar) - Harvey LM Test after ALS(1) - Wald T Test - Wald Chi2 Test

Durbin h Test can not be computed, if the square root has negative value.

************************************************************** * 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 * **************************************************************

+-------+ ----+ Model +------------------------------------------------------------

model description 2sls Two-Stage Least Squares (2SLS) liml Limited-Information Maximum Likelihood (LIML) melo Minimum Expected Loss (MELO) fuller Fuller k-Class LIML kclass Theil K-Class LIML gmm Generalized Method of Moments (GMM)

+-------------+ ----+ GMM Options +------------------------------------------------------

hetcov Options Description

hetcov(white) White Method hetcov(bart) Bartlett Method hetcov(dan) Daniell Method hetcov(nwest) Newey-West Method hetcov(parzen) Parzen Method hetcov(quad) Quadratic spectral Method hetcov(tent) Tent Method hetcov(trunc) Truncated Method hetcov(tukeym) Tukey-Hamming Method hetcov(tukeyn) Tukey-Hanning Method

+---------------+ ----+ Other Options +----------------------------------------------------

kf(#) Fuller k-Class LIML Value

kc(#) Theil k-Class LIML Value

dlag(#) Location of Lagged Dependent Variable Default is (1).

noconstant Exclude Constant Term from RHS Equation only

noconexog Exclude Constant Term from all Equations (both RHS and Instrumental Equations). Results of using noconexog option are identical to Stata ivregress. The default of lmadurh2 is including Constant Term in both RHS and Instrumental Equations

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

lmadurh2 saves the following in e():

e(lmadho) Durbin h Test (Lag DepVar) e(lmadhop) Durbin h Test (Lag DepVar) P-Value e(lmadha) Durbin h Test after ALS(1) e(lmadhap) Durbin h Test after ALS(1) P-Value e(lmahho) Harvey LM Test (Lag DepVar) e(lmahhop) Harvey LM Test (Lag DepVar) P-Value e(lmahha) Harvey LM Test after ALS(1) e(lmahhap) Harvey LM Test after ALS(1) P-Value e(lmawt) Wald T Test e(lmawtp) Wald T Test P-Value e(lmawc) Wald Chi2 Test e(lmawcp) Wald Chi2 Test P-Value

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

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

Durbin, James (1970a) "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables", Econometrica, vol.38, no.3, May; 410-421.

Durbin, James (1970b) "An Alternative to the Bounds Test for Testing for Serial Correlation in Least Square Regression", Econometrica, Vol. 38, No. 2, May; 422-429.

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

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

Harvey, Andrew (1990) "The Econometric Analysis of Time Series", 2nd edition, MIT Press, Cambridge, Massachusetts.

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.

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

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

clear all

sysuse lmadurh2.dta , clear

db lmadurh2

lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(2sls) dlag(1) lmadurh2 y1 x1 y11 x2 (y2 = y11 x1 x2 x3 x4) , model(2sls) dlag(2) lmadurh2 y1 x1 x2 y11 (y2 = y11 x1 x2 x3 x4) , model(2sls) dlag(3)

lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(melo) lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(liml) lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(fuller) kf(0.5) lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(kclass) kc(0.5) lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(gmm) hetcov(white) lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(gmm) hetcov(bart) lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(gmm) hetcov(dan) lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(gmm) hetcov(nwest) lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(gmm) hetcov(parzen) lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(gmm) hetcov(quad) lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(gmm) hetcov(tent) lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(gmm) hetcov(trunc) lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(gmm) hetcov(tukeym) lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(gmm) hetcov(tukeyn) -------------------------------------------------------------------------------

. clear all . sysuse lmadurh2.dta , clear . lmadurh2 y1 y11 x1 x2 (y2 = y11 x1 x2 x3 x4) , model(2sls) dlag(1)

============================================================================== * Two Stage Least Squares (2SLS) ============================================================================== y1 = y2 + y11 + x1 + x2 ------------------------------------------------------------------------------ Sample Size = 17 Wald Test = 232.9156 | P-Value > Chi2(4) = 0.0000 F-Test = 58.2289 | P-Value > F(4 , 12) = 0.0000 (Buse 1973) R2 = 0.9506 | Raw Moments R2 = 0.9986 (Buse 1973) R2 Adj = 0.9342 | Raw Moments R2 Adj = 0.9982 Root MSE (Sigma) = 6.0480 | Log Likelihood Function = -51.7567 ------------------------------------------------------------------------------ - R2h= 0.9507 R2h Adj= 0.9342 F-Test = 57.82 P-Value > F(4 , 12) 0.0000 - R2v= 0.9609 R2v Adj= 0.9479 F-Test = 73.78 P-Value > F(4 , 12) 0.0000 ------------------------------------------------------------------------------ y1 | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y2 | -.1227586 .1494559 -0.82 0.427 -.448395 .2028778 y11 | -.1167566 .1707067 -0.68 0.507 -.4886945 .2551813 x1 | 1.228178 .3224539 3.81 0.002 .525611 1.930744 x2 | -1.70445 .2721733 -6.26 0.000 -2.297464 -1.111435 _cons | 171.3375 44.71636 3.83 0.002 73.90887 268.766 ------------------------------------------------------------------------------ * Y = LHS Dependent Variable: 1 = y1 * Yi = RHS Endogenous Variables: 1 = y2 * Xi = RHS Included Exogenous Vars: 3 = y11 x1 x2 * Xj = RHS Excluded Exogenous Vars: 2 = x3 x4 * Z = Overall Instrumental Vars: 5 = y11 x1 x2 x3 x4

============================================================================== *** 2SLS-IV Autocorrelation Dynamic Tests - Model= (2sls) ============================================================================== Ho: No Autocorrelation - Ha: Autocorrelation ------------------------------------------------------------------------------ - Durbin h Test (Lag DepVar) AR(1)= -1.4290 P-Value >Z(0,1) 0.1530 - Durbin h Test after ALS(1) AR(1)= 2.2898 P-Value >Z(0,1) 0.0220 ------------------------------------------------------------------------------ - Harvey LM Test (Lag DepVar) AR(1)= 2.0420 P-Value >Chi2(1) 0.1530 - Harvey LM Test after ALS(1) AR(1)= 5.2433 P-Value >Chi2(1) 0.0220 ------------------------------------------------------------------------------ - Wald T Test AR(1)= -0.4057 P-Value >Z(0,1) 0.6850 - Wald Chi2 Test AR(1)= 0.1646 P-Value >Z(0,1) 0.6850 ------------------------------------------------------------------------------

+---------+ ----+ Authors +----------------------------------------------------------

- Emad Abd Elmessih Shehata Professor (PhD Economics) 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

- Sahra Khaleel A. Mickaiel Professor (PhD Economics) Cairo University - Faculty of Agriculture - Department of Economics - Egypt Email: sahra_atta@hotmail.com WebPage: http://sahraecon.110mb.com/stata.htm WebPage at IDEAS: http://ideas.repec.org/f/pmi520.html WebPage at EconPapers: http://econpapers.repec.org/RAS/pmi520.htm

+-------------------+ ----+ LMADURH2 Citation +------------------------------------------------

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2012) LMADURH2: "2SLS-IV Autocorrelation Dynamic Durbin h, Harvey LM, and Wald Tests"

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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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 --------------------------------------------------------------------------- * (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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