{smcl} {hline} {cmd:help: {helpb lmadw2}}{space 50} {cmd:dialog:} {bf:{dialog lmadw2}} {hline} {bf:{err:{dlgtab:Title}}} {bf:lmadw2: 2SLS-IV Autocorrelation Durbin-Watson Test at Higher Order AR(p)} {marker 00}{bf:{err:{dlgtab:Table of Contents}}} {p 4 8 2} {p 5}{helpb lmadw2##01:Syntax}{p_end} {p 5}{helpb lmadw2##02:Description}{p_end} {p 5}{helpb lmadw2##03:Model}{p_end} {p 5}{helpb lmadw2##04:GMM Options}{p_end} {p 5}{helpb lmadw2##05:Other Options}{p_end} {p 5}{helpb lmadw2##06:Saved Results}{p_end} {p 5}{helpb lmadw2##07:References}{p_end} {p 1}*** {helpb lmadw2##08:Examples}{p_end} {p 5}{helpb lmadw2##09:Authors}{p_end} {marker 01}{bf:{err:{dlgtab:Syntax}}} {p 2 4 2} {cmd:lmadw2} {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:lmadw2} computes 2SLS-IV Autocorrelation Durbin-Watson 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-Watson Test {cmd: DW(i): Durbin-Watson Test = sum((E-`E'[n-i])^2)/sum(E^) ************************************************************** ***** Positive Auto ***** (DW Test) **** Negative Auto ******* * DW > Du (No+) * DW * 4-Du (No-) * * 0 < DW < DL ( +) * 4-DL < DW < 4 ( -) * * DL * DW * Du (Inc) * 4-Du <= DW * 4-DL (Inc) * ************************************************************** {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:lmadw2} is including Constant Term in both RHS and Instrumental Equations{p_end} {marker 06}{bf:{err:{dlgtab:Saved Results}}} {cmd:lmadw2} saves the following in {cmd:e()}: {col 4}{cmd:e(rho#)}{col 20}Rho Value for AR(i) {col 4}{cmd:e(lmadw#)}{col 20}Durbin-Watson Test AR(i) {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}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}. {marker 08}{bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse lmadw2.dta , clear} {stata db lmadw2} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls) lag(4)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(melo)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(liml)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(fuller) kf(0.5)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(kclass) kc(0.5)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(white)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(bart)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(dan)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(nwest)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(parzen)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(quad)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tent)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(trunc)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeym)} {stata lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeyn)} {hline} . clear all . sysuse lmadw2.dta , clear . lmadw2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls) lag(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 Durbin-Watson Test - Model= (2sls) ============================================================================== Ho: No Autocorrelation - Ha: Autocorrelation ------------------------------------------------------------------------------ - Rho Value for Order(1) AR(1)= -0.0855 - Durbin-Watson Test AR(1)= 2.1321 df: (3 , 17) ------------------------------------------------------------------------------ - Rho Value for Order(2) AR(2)= -0.2334 - Durbin-Watson Test AR(2)= 2.3986 df: (3 , 17) ------------------------------------------------------------------------------ - Rho Value for Order(3) AR(3)= 0.1275 - Durbin-Watson Test AR(3)= 1.5786 df: (3 , 17) ------------------------------------------------------------------------------ - Rho Value for Order(4) AR(4)= -0.0905 - Durbin-Watson Test AR(4)= 1.4892 df: (3 , 17) ------------------------------------------------------------------------------ {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:{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:LMADW2 Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2012)}{p_end} {p 1 10 1}{cmd:LMADW2: "2SLS-IV Autocorrelation Durbin-Watson 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 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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 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