{smcl} {hline} {cmd:help: {helpb lmadurhxt}}{space 50} {cmd:dialog:} {bf:{dialog lmadurhxt}} {hline} {bf:{err:{dlgtab:Title}}} {bf:lmadurhxt: Panel Autocorrelation Data Dynamic Durbin h and Harvey LM Tests} {marker 00}{bf:{err:{dlgtab:Table of Contents}}} {p 4 8 2} {p 5}{helpb lmadurhxt##01:Syntax}{p_end} {p 5}{helpb lmadurhxt##02:Description}{p_end} {p 5}{helpb lmadurhxt##03:Options}{p_end} {p 5}{helpb lmadurhxt##04:Saved Results}{p_end} {p 5}{helpb lmadurhxt##05:References}{p_end} {p 1}*** {helpb lmadurhxt##06:Examples}{p_end} {p 5}{helpb lmadurhxt##07:Authors}{p_end} {p2colreset}{...} {marker 01}{bf:{err:{dlgtab:Syntax}}} {p 5 5 6} {opt lmadurhxt} {depvar} {indepvars} {ifin} {weight} , {bf:{err:id(var)}} {bf:{err:it(var)}}{p_end} {p 3 5 6} {err: [} {opt dlag(#)} {opt nocons:tant} {opt coll} {err:]}{p_end} {p2colreset}{...} {marker 02}{bf:{err:{dlgtab:Description}}} {p 2 2 2} {cmd:lmadurhxt} computes Panel Data Autocorrelation Dynamic Durbin h and Harvey LM Tests.{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 * ************************************************************** * Ho: No AR(1) Panel AutoCorrelation - Ha: AR(1) Panel AutoCorrelation - Durbin h Panel Test (Lag DepVar) - Harvey LM Panel Test (Lag DepVar) - Panel Rho Value {p 3 4 2} R2, R2 Adjusted, and F-Test, are obtained from 4 ways:{p_end} {p 5 4 2} 1- (Buse 1973) R2.{p_end} {p 5 4 2} 2- Raw Moments R2.{p_end} {p 5 4 2} 3- squared correlation between predicted (Yh) and observed dependent variable (Y).{p_end} {p 5 4 2} 4- Ratio of variance between predicted (Yh) and observed dependent variable (Y).{p_end} {p 5 4 2} - Adjusted R2: R2_a=1-(1-R2)*(N-1)/(N-K-1).{p_end} {p 5 4 2} - F-Test=R2/(1-R2)*(N-K-1)/(K).{p_end} {p2colreset}{...} {marker 03}{bf:{err:{dlgtab:Options}}} {col 3}* {cmd: {opt id(var)}{col 20}Cross Sections ID variable name} {col 3}* {cmd: {opt it(var)}{col 20}Time Series ID variable name} {col 3}{opt coll}{col 20}keep collinear variables; default is removing collinear variables. {col 3}{opt nocons:tant}{col 20}Exclude Constant Term from Equation {col 3}{bf:dlag({err:{it:#}})}{col 20}Location of Lagged Dependent Variable; default is (1) {p2colreset}{...} {marker 04}{bf:{err:{dlgtab:Saved Results}}} {p 2 4 2 }{cmd:lmadurhxt} saves the following results in {cmd:e()}: {col 4}{cmd:e(rho)}{col 20}Panel Rho Value {col 4}{cmd:e(lmadh)}{col 20}Durbin h Panel Test (Lag DepVar) {col 4}{cmd:e(lmadhp)}{col 20}Durbin h Panel Test (Lag DepVar) P-Value {col 4}{cmd:e(lmahh)}{col 20}Harvey LM Panel Test (Lag DepVar) {col 4}{cmd:e(lmahhp)}{col 20}Harvey LM Panel Test (Lag DepVar) P-Value {p2colreset}{...} {marker 05}{bf:{err:{dlgtab:References}}} {p 4 8 2}Damodar Gujarati (1995) {cmd: "Basic Econometrics"} {it:3rd Edition, McGraw Hill, New York, USA}. {p 4 8 2}Durbin, James (1970a) {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}Greene, William (2007) {cmd: "Econometric Analysis",} {it:6th ed., Macmillan Publishing Company Inc., New York, USA.}. {p 4 8 2}Griffiths, W., R. Carter Hill & George Judge (1993) {cmd: "Learning and Practicing Econometrics",} {it:John Wiley & Sons, Inc., New York, USA}. {p 4 8 2}Harvey, Andrew (1990) {cmd: "The Econometric Analysis of Time Series",} {it:2nd edition, MIT Press, Cambridge, Massachusetts}. {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}. {p 4 8 2}Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985) {cmd: "The Theory and Practice of Econometrics",} {it:2nd ed., John Wiley & Sons, Inc., New York, USA}. {p2colreset}{...} {marker 06}{bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse lmadurhxt.dta, clear} {stata db lmadurhxt} {stata lmadurhxt y x1 x2 , id(id) it(t)} {stata lmadurhxt y y1 x1 x2 , id(id) it(t) dlag(1)} {stata lmadurhxt y x1 y1 x2 , id(id) it(t) dlag(2)} . clear all . sysuse lmadurhxt.dta, clear . lmadurhxt y y1 x1 x2 , id(id) it(t) dlag(1) ============================================================================== * Ordinary Least Squares (OLS) Regression ============================================================================== y = y1 + x1 + x2 ------------------------------------------------------------------------------ Sample Size = 49 | Cross Sections Number = 7 Wald Test = 107.1056 | P-Value > Chi2(3) = 0.0000 F-Test = 35.7019 | P-Value > F(3 , 46) = 0.0000 (Buse 1973) R2 = 0.6996 | Raw Moments R2 = 0.9454 (Buse 1973) R2 Adj = 0.6865 | Raw Moments R2 Adj = 0.9430 Root MSE (Sigma) = 9.3686 | Log Likelihood Function = -177.6110 ------------------------------------------------------------------------------ - R2h= 0.6996 R2h Adj= 0.6865 F-Test = 34.93 P-Value > F(3 , 46) 0.0000 - R2v= 0.6996 R2v Adj= 0.6865 F-Test = 34.93 P-Value > F(3 , 46) 0.0000 ------------------------------------------------------------------------------ y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y1 | .4571583 .0963145 4.75 0.000 .2632873 .6510294 x1 | -.2783915 .0845554 -3.29 0.002 -.4485926 -.1081903 x2 | -.8975503 .3109251 -2.89 0.006 -1.52341 -.2716905 _cons | 42.84119 6.674359 6.42 0.000 29.4064 56.27598 ------------------------------------------------------------------------------ ============================================================================== *** Panel Data Autocorrelation Dynamic Tests ============================================================================== Ho: No AR(1) Panel AutoCorrelation - Ha: AR(1) Panel AutoCorrelation - Durbin h Test (Lag DepVar) = 0.0153 P-Value > Z(0,1) 0.9878 - Harvey LM Test (Lag DepVar) = 0.0002 P-Value > Chi2(1) 0.9878 ------------------------------------------------------------------------------ - Panel Rho Value = 0.0293 ------------------------------------------------------------------------------ {p2colreset}{...} {marker 07}{bf:{err:{dlgtab:Authors}}} - {hi:Emad Abd Elmessih Shehata} {hi:Professor (PhD Economics)} {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"}} - {hi:Sahra Khaleel A. Mickaiel} {hi:Professor (PhD Economics)} {hi:Cairo University - Faculty of Agriculture - Department of Economics - Egypt} {hi:Email: {browse "mailto:sahra_atta@hotmail.com":sahra_atta@hotmail.com}} {hi:WebPage:{col 27}{browse "http://sahraecon.110mb.com/stata.htm"}} {hi:WebPage at IDEAS:{col 27}{browse "http://ideas.repec.org/f/pmi520.html"}} {hi:WebPage at EconPapers:{col 27}{browse "http://econpapers.repec.org/RAS/pmi520.htm"}} {bf:{err:{dlgtab:LMADURHXT Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2013)}{p_end} {p 1 10 1}{cmd:LMADURHXT: "Panel Data Autocorrelation Dynamic Durbin h and Harvey LM Tests"}{p_end} {browse "http://ideas.repec.org/c/boc/bocode/s457714.html"} {browse "http://econpapers.repec.org/software/bocbocode/s457714.htm"} {title:Online Help:} {bf:{err:* Autocorrelation Tests:}} {bf:{err:* (1) (OLS) * Ordinary Least Squares Tests:}} {helpb lmareg}{col 12}OLS Autocorrelation Tests {helpb lmabp}{col 12}OLS Autocorrelation Box-Pierce Test {helpb lmabg}{col 12}OLS Autocorrelation Breusch-Godfrey Test {helpb lmabpg}{col 12}OLS Autocorrelation Breusch-Pagan-Godfrey Test {helpb lmadurh}{col 12}OLS Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests {helpb lmadurm}{col 12}OLS Autocorrelation Dynamic Durbin m Test {helpb lmadw}{col 12}OLS Autocorrelation Durbin-Watson Test {helpb lmalb}{col 12}OLS Autocorrelation Ljung-Box Test {helpb lmavon}{col 12}OLS Autocorrelation Von Neumann Ratio Test {helpb lmaz}{col 12}OLS Autocorrelation Z Test 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