help: lmadurhxt dialog:

Title

lmadurhxt: Panel Autocorrelation Data Dynamic Durbin h and Harvey LM Tests

Table of Contents

Syntax

Description

Options

Saved Results

References

*** Examples

Authors

Syntax

lmadurhxt depvar indepvars [if] [in] [weight] , id(var) it(var)

[ dlag(#) noconstant coll ]

Description

lmadurhxt computes Panel Data Autocorrelation Dynamic Durbin h and Harvey LM Tests.

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

* 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

R2, R2 Adjusted, and F-Test, are obtained from 4 ways:

1- (Buse 1973) R2.

2- Raw Moments R2.

3- squared correlation between predicted (Yh) and observed dependent variable (Y).

4- Ratio of variance between predicted (Yh) and observed dependent variable (Y).

- Adjusted R2: R2_a=1-(1-R2)*(N-1)/(N-K-1).

- F-Test=R2/(1-R2)*(N-K-1)/(K).

Options

* id(var) Cross Sections ID variable name
* it(var) Time Series ID variable name

coll keep collinear variables; default is removing collinear variables.

noconstant Exclude Constant Term from Equation

dlag(#) Location of Lagged Dependent Variable; default is (1)

Saved Results

lmadurhxt saves the following results in e():

e(rho) Panel Rho Value
e(lmadh) Durbin h Panel Test (Lag DepVar)
e(lmadhp) Durbin h Panel Test (Lag DepVar) P-Value
e(lmahh) Harvey LM Panel Test (Lag DepVar)
e(lmahhp) Harvey LM Panel Test (Lag DepVar) 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.

Greene, William (2007)
"Econometric Analysis",
6th ed., Macmillan Publishing Company Inc., New York, USA..

Griffiths, W., R. Carter Hill & George Judge (1993)
"Learning and Practicing Econometrics",
John Wiley & Sons, Inc., New York, USA.

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.

Examples

clear all

sysuse lmadurhxt.dta, clear

db lmadurhxt

lmadurhxt y x1 x2 , id(id) it(t)

lmadurhxt y y1 x1 x2 , id(id) it(t) dlag(1)

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
------------------------------------------------------------------------------

Authors

- Emad Abd Elmessih Shehata
Professor (PhD Economics)
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
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

LMADURHXT Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2013)

LMADURHXT: "Panel Data Autocorrelation Dynamic Durbin h and Harvey LM Tests"

http://ideas.repec.org/c/boc/bocode/s457714.html

http://econpapers.repec.org/software/bocbocode/s457714.htm

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
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* (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
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* (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
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* (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
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* (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
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* (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
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* (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
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* (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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