{smcl} {hline} {cmd:help: {helpb lmadurm2}}{space 50} {cmd:dialog:} {bf:{dialog lmadurm2}} {hline} {bf:{err:{dlgtab:Title}}} {bf:lmadurm2: 2SLS-IV Autocorrelation Dynamic Durbin m Test at Higher Order AR(p)} {marker 00}{bf:{err:{dlgtab:Table of Contents}}} {p 4 8 2} {p 5}{helpb lmadurm2##01:Syntax}{p_end} {p 5}{helpb lmadurm2##02:Description}{p_end} {p 5}{helpb lmadurm2##03:Model}{p_end} {p 5}{helpb lmadurm2##04:GMM Options}{p_end} {p 5}{helpb lmadurm2##05:Other Options}{p_end} {p 5}{helpb lmadurm2##06:Saved Results}{p_end} {p 5}{helpb lmadurm2##07:References}{p_end} {p 1}*** {helpb lmadurm2##08:Examples}{p_end} {p 5}{helpb lmadurm2##09:Authors}{p_end} {marker 01}{bf:{err:{dlgtab:Syntax}}} {p 2 4 2} {cmd:lmadurm2} {depvar} {it:{help varlist:indepvars}} {cmd:({it:{help varlist:endog}} = {it:{help varlist:inst}})} {ifin} , {p_end} {p 6 6 2} {opt model(2sls, liml, gmm, melo, fuller, kclass)}{p_end} {p 6 6 2} {err: [} {opt lag:s(#)} {opt kc(#)} {opt kf(#)} {opt hetcov(type)} {opt nocons:tant} {opt noconexog} {err:]}{p_end} {marker 02}{bf:{err:{dlgtab:Description}}} {pstd} {cmd:lmadurm2} computes 2SLS-IV Autocorrelation Dynamic Durbin m Test at Higher Order AR(p) for instrumental variables regression models, via 2sls, liml, melo, gmm, and kclass.{p_end} Ho: No Autocorrelation - Ha: Autocorrelation - Durbin m Test (drop 1 obs) - Durbin m Test (keep 1 obs) {marker 03}{bf:{err:{dlgtab:Model}}} {synoptset 16}{...} {p2coldent:{it:model}}description{p_end} {synopt:{opt 2sls}}Two-Stage Least Squares (2SLS){p_end} {synopt:{opt liml}}Limited-Information Maximum Likelihood (LIML){p_end} {synopt:{opt melo}}Minimum Expected Loss (MELO){p_end} {synopt:{opt fuller}}Fuller k-Class LIML{p_end} {synopt:{opt kclass}}Theil K-Class LIML{p_end} {synopt:{opt gmm}}Generalized Method of Moments (GMM){p_end} {marker 04}{bf:{err:{dlgtab:GMM Options}}} {synoptset 16}{...} {p2coldent:{it:hetcov Options}}Description{p_end} {synopt:{bf:hetcov({err:{it:white}})}}White Method{p_end} {synopt:{bf:hetcov({err:{it:bart}})}}Bartlett Method{p_end} {synopt:{bf:hetcov({err:{it:dan}})}}Daniell Method{p_end} {synopt:{bf:hetcov({err:{it:nwest}})}}Newey-West Method{p_end} {synopt:{bf:hetcov({err:{it:parzen}})}}Parzen Method{p_end} {synopt:{bf:hetcov({err:{it:quad}})}}Quadratic spectral Method{p_end} {synopt:{bf:hetcov({err:{it:tent}})}}Tent Method{p_end} {synopt:{bf:hetcov({err:{it:trunc}})}}Truncated Method{p_end} {synopt:{bf:hetcov({err:{it:tukeym}})}}Tukey-Hamming Method{p_end} {synopt:{bf:hetcov({err:{it:tukeyn}})}}Tukey-Hanning Method{p_end} {marker 05}{bf:{err:{dlgtab:Other Options}}} {synoptset 16}{...} {synopt:{bf:kf({err:{it:#}})}}Fuller k-Class LIML Value{p_end} {synopt:{bf:kc({err:{it:#}})}}Theil k-Class LIML Value{p_end} {synopt:{bf:lags({err:{it:#}})}}Order of Lag Length{p_end} {synopt:{opt nocons:tant}}Exclude Constant Term from RHS Equation only{p_end} {synopt:{bf:noconexog}}Exclude Constant Term from all Equations (both RHS and Instrumental Equations). Results of using {cmd:noconexog} option are identical to Stata {helpb ivregress}. The default of {cmd:lmadurm2} is including Constant Term in both RHS and Instrumental Equations{p_end} {marker 06}{bf:{err:{dlgtab:Saved Results}}} {cmd:lmadurm2} saves the following in {cmd:e()}: {col 4}{cmd:e(rho#)}{col 20}Rho Value for AR(i) {col 4}{cmd:e(lmadmd#)}{col 20}Durbin m Test (drop i obs) AR(i) {col 4}{cmd:e(lmadmdp#)}{col 20}Durbin m Test (drop i obs) AR(i) P-Value {col 4}{cmd:e(lmadmk#)}{col 20}Durbin m Test (keep i obs) AR(i) {col 4}{cmd:e(lmadmkp#)}{col 20}Durbin m Test (keep i obs) AR(i) P-Value {marker 07}{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}Durbin, James (1970b) {cmd: "An Alternative to the Bounds Test for Testing for Serial Correlation in Least Square Regression",} {it:Econometrica, Vol. 38, No. 2, May}; 422-429. {p 4 8 2}Kmenta, Jan (1986) {cmd: "Elements of Econometrics",} {it: 2nd ed., Macmillan Publishing Company, Inc., New York, USA}; 718. {p 4 8 2}Maddala, G. (1992) {cmd: "Introduction to Econometrics",} {it:2nd ed., Macmillan Publishing Company, New York, USA}. {marker 08}{bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse lmadurm2.dta , clear} {stata db lmadurm2} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls) lag(1)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls) lag(2)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls) lag(3)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(melo)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(liml)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(fuller) kf(0.5)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(kclass) kc(0.5)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(white)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(bart)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(dan)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(nwest)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(parzen)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(quad)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tent)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(trunc)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeym)} {stata lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeyn)} {hline} . clear all . sysuse lmadurm2.dta , clear . lmadurm2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls) lags(4) ============================================================================== * Two Stage Least Squares (2SLS) ============================================================================== y1 = y2 + x1 + x2 ------------------------------------------------------------------------------ Sample Size = 17 Wald Test = 79.9520 | P-Value > Chi2(3) = 0.0000 F-Test = 26.6507 | P-Value > F(3 , 13) = 0.0000 (Buse 1973) R2 = 0.8592 | Raw Moments R2 = 0.9954 (Buse 1973) R2 Adj = 0.8267 | Raw Moments R2 Adj = 0.9944 Root MSE (Sigma) = 10.2244 | Log Likelihood Function = -61.3630 ------------------------------------------------------------------------------ - R2h= 0.8593 R2h Adj= 0.8268 F-Test = 26.46 P-Value > F(3 , 13) 0.0000 - R2v= 0.8765 R2v Adj= 0.8480 F-Test = 30.75 P-Value > F(3 , 13) 0.0000 ------------------------------------------------------------------------------ y1 | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y2 | .237333 .2422811 0.98 0.345 -.2860835 .7607495 x1 | .2821278 .5433329 0.52 0.612 -.8916715 1.455927 x2 | -1.044795 .362648 -2.88 0.013 -1.828248 -.2613411 _cons | 145.8444 61.72083 2.36 0.034 12.50468 279.1842 ------------------------------------------------------------------------------ * Y = LHS Dependent Variable: 1 = y1 * Yi = RHS Endogenous Variables: 1 = y2 * Xi = RHS Included Exogenous Vars: 2 = x1 x2 * Xj = RHS Excluded Exogenous Vars: 2 = x3 x4 * Z = Overall Instrumental Vars: 4 = x1 x2 x3 x4 ============================================================================== * 2SLS-IV Autocorrelation Dynamic Durbin m Test - Model= (2sls) ============================================================================== Ho: No Autocorrelation - Ha: Autocorrelation ------------------------------------------------------------------------------ - Rho Value for AR(1)= -0.0855 - Durbin m Test (drop 1 obs) AR(1)= 0.1983 P-Value >Chi2(1) 0.6561 - Durbin m Test (keep 1 obs) AR(1)= 0.2232 P-Value >Chi2(1) 0.6366 ------------------------------------------------------------------------------ - Rho Value for AR(2)= -0.2334 - Durbin m Test (drop 2 obs) AR(2)= 1.9805 P-Value >Chi2(2) 0.3715 - Durbin m Test (keep 2 obs) AR(2)= 1.6632 P-Value >Chi2(2) 0.4354 ------------------------------------------------------------------------------ - Rho Value for AR(3)= 0.1275 - Durbin m Test (drop 3 obs) AR(3)= 2.3537 P-Value >Chi2(3) 0.5023 - Durbin m Test (keep 3 obs) AR(3)= 2.4306 P-Value >Chi2(3) 0.4880 ------------------------------------------------------------------------------ - Rho Value for AR(4)= -0.0905 - Durbin m Test (drop 4 obs) AR(4)= 4.3017 P-Value >Chi2(4) 0.3667 - Durbin m Test (keep 4 obs) AR(4)= 2.3426 P-Value >Chi2(4) 0.6730 ------------------------------------------------------------------------------ {marker 09}{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 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 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:LMADURM2 Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2015)}{p_end} {p 1 10 1}{cmd:LMADURM2: "Stata Module to Compute 2SLS-IV Autocorrelation Dynamic Durbin m Test at Higher Order AR(p)"}{p_end} {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 --------------------------------------------------------------------------- {bf:{err:* (2) (NLS) * Non Linear Least Squares Tests:}} {helpb lmanls}{col 12}Non Linear Least Squares Autocorrelation Tests {helpb lmabpnl}{col 12}NLS Autocorrelation Box-Pierce Test {helpb lmabgnl}{col 12}NLS Autocorrelation Breusch-Godfrey Test {helpb lmabpgnl}{col 12}NLS Autocorrelation Breusch-Pagan-Godfrey Test {helpb lmadurmnl}{col 12}NLS Autocorrelation Dynamic Durbin m Test {helpb lmadwnl}{col 12}NLS Autocorrelation Durbin-Watson Test {helpb lmalbnl}{col 12}NLS Autocorrelation Ljung-Box Test {helpb lmavonnl}{col 12}NLS Autocorrelation Von Neumann Ratio Test {helpb lmaznl}{col 12}NLS Autocorrelation Z Test --------------------------------------------------------------------------- {bf:{err:* (3) (MLE) * Maximum Likelihood Estimation Tests:}} {helpb lmamle}{col 12}MLE Autocorrelation Tests {helpb lmabpml}{col 12}MLE Autocorrelation Box-Pierce Test {helpb lmabgml}{col 12}MLE Autocorrelation Breusch-Godfrey Test {helpb lmabpgml}{col 12}MLE Autocorrelation Breusch-Pagan-Godfrey Test {helpb lmadurhml}{col 12}MLE Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests {helpb lmadurmml}{col 12}MLE Autocorrelation Dynamic Durbin m Test {helpb lmadwml}{col 12}MLE Autocorrelation Durbin-Watson Test {helpb lmalbml}{col 12}MLE Autocorrelation Ljung-Box Test {helpb lmavonml}{col 12}MLE Autocorrelation Von Neumann Ratio Test {helpb lmazml}{col 12}MLE Autocorrelation Z Test --------------------------------------------------------------------------- {bf:{err:* (4) (2SLS-IV) * Two-Stage Least Squares & Instrumental Variables Tests:}} {helpb lmareg2}{col 12}2SLS-IV Autocorrelation Tests {helpb lmabg2}{col 12}2SLS-IV Autocorrelation Breusch-Godfrey Test {helpb lmabp2}{col 12}2SLS-IV Autocorrelation Box-Pierce Test {helpb lmabpg2}{col 12}2SLS-IV Autocorrelation Breusch-Pagan-Godfrey Test {helpb lmadurh2}{col 12}2SLS-IV Autocorrelation Dynamic Durbin h, Harvey LM, Wald Tests {helpb lmadurm2}{col 12}2SLS-IV Autocorrelation Dynamic Durbin m Test {helpb lmadw2}{col 12}2SLS-IV Autocorrelation Durbin-Watson Test {helpb lmalb2}{col 12}2SLS-IV Autocorrelation Ljung-Box Test {helpb lmavon2}{col 12}2SLS-IV Von Neumann Ratio Autocorrelation Test {helpb lmaz2}{col 12}2SLS-IV Autocorrelation Z Test --------------------------------------------------------------------------- {bf:{err:* (5) Panel Data Tests:}} {helpb lmaxt}{col 12}Panel Data Autocorrelation Tests {helpb lmabxt}{col 12}Panel Data Autocorrelation Baltagi Test {helpb lmabgxt}{col 12}Panel Data Autocorrelation Breusch-Godfrey Test {helpb lmabpxt}{col 12}Panel Data Autocorrelation Box-Pierce Test {helpb lmabpgxt}{col 12}Panel Data Autocorrelation Breusch-Pagan-Godfrey Test {helpb lmadurhxt}{col 12}Panel Data Autocorrelation Dynamic Durbin h and Harvey LM Tests {helpb lmadurmxt}{col 12}Panel Data Autocorrelation Dynamic Durbin m Test {helpb lmadwxt}{col 12}Panel Data Autocorrelation Durbin-Watson Test {helpb lmavonxt}{col 12}Panel Data Von Neumann Ratio Autocorrelation Test {helpb lmawxt}{col 12}Panel Data Autocorrelation Wooldridge Test {helpb lmazxt}{col 12}Panel Data Autocorrelation Z Test --------------------------------------------------------------------------- {bf:{err:* (6) (3SLS-SUR) * Simultaneous Equations Tests:}} {helpb lmareg3}{col 12}(3SLS-SUR) Overall System Autocorrelation Tests {helpb lmhreg3}{col 12}(3SLS-SUR) Overall System Heteroscedasticity Tests {helpb lmnreg3}{col 12}(3SLS-SUR) Overall System Non Normality Tests {helpb lmcovreg3}{col 12}(3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix {helpb r2reg3}{col 12}(3SLS-SUR) Overall System R2, F-Test, and Chi2-Test {helpb diagreg3}{col 12}(3SLS-SUR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (7) (SEM-FIML) * Structural Equation Modeling Tests:}} {helpb lmasem}{col 12}(SEM-FIML) Overall System Autocorrelation Tests {helpb lmhsem}{col 12}(SEM-FIML) Overall System Heteroscedasticity Tests {helpb lmnsem}{col 12}(SEM-FIML) Overall System Non Normality Tests {helpb lmcovsem}{col 12}(SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2sem}{col 12}(SEM-FIML) Overall System R2, F-Test, and Chi2-Test {helpb diagsem}{col 12}(SEM-FIML) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (8) (NL-SUR) * Non Linear Seemingly Unrelated Regression Tests:}} {helpb lmanlsur}{col 12}(NL-SUR) Overall System Autocorrelation Tests {helpb lmhnlsur}{col 12}(NL-SUR) Overall System Heteroscedasticity Tests {helpb lmnnlsur}{col 12}(NL-SUR) Overall System Non Normality Tests {helpb lmcovnlsur}{col 12}(NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2nlsur}{col 12}(NL-SUR) Overall System R2, F-Test, and Chi2-Test {helpb diagnlsur}{col 12}(NL-SUR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (9) (VAR) * Vector Autoregressive Model Tests:}} {helpb lmavar}{col 12}(VAR) Overall System Autocorrelation Tests {helpb lmhvar}{col 12}(VAR) Overall System Heteroscedasticity Tests {helpb lmnvar}{col 12}(VAR) Overall System Non Normality Tests {helpb lmcovvar}{col 12}(VAR) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2var}{col 12}(VAR) Overall System R2, F-Test, and Chi2-Test {helpb diagvar}{col 12}(VAR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {psee} {p_end}