+-------+ ----+ Title +------------------------------------------------------------
lmadwnl: NLS Autocorrelation Durbin-Watson Test at Higher Order AR(p)
+-------------------+ ----+ Table of Contents +------------------------------------------------
Syntax Options Description Saved Results References
*** Examples
Authors
+--------+ ----+ Syntax +-----------------------------------------------------------
lmadwnl depvar [if] [in] [weight] , fun(expression) lags(#) [ initial(init_val) variables(varlist) vce(vcetype ]
+---------+ ----+ Options +----------------------------------------------------------
lags(#) Lag Length Order
depvar Dependent Variable
variables(varlist) Independent Variables in model
initial(init_val) Parameters (initial) Starting Values
fun(expression) RHS Mathematical Expression
SE/Robust vce(vcetype) vcetype may be gnr, robust, cluster clustvar, bootstrap, jackknife, hac kernel, hc2, or hc3
+-------------+ ----+ Description +------------------------------------------------------
lmadwnl computes NLS Autocorrelation Durbin-Watson Test at Higher Order AR(p).
Ho: No Autocorrelation - Ha: Autocorrelation - Rho Value for - Durbin-Watson Test
+---------------+ ----+ Saved Results +----------------------------------------------------
lmadwnl saves the following in e():
e(rho#) Rho Value for AR(i) e(lmadw#) Durbin-Watson Test AR(i)
+------------+ ----+ References +-------------------------------------------------------
Damodar Gujarati (1995) "Basic Econometrics" 3rd Edition, McGraw Hill, New York, USA.
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.
William E. Griffiths, R. Carter Hill and George G. Judge (1993) "Learning and Practicing Econometrics", John Wiley & Sons, Inc., New York, USA; 721-725.
+----------+ ----+ Examples +---------------------------------------------------------
clear all
sysuse lmadwnl.dta , clear
gen ly=ln(y)
lmadwnl ly , fun({B0}+{B1}*k+{B2}*l)
lmadwnl ly, fun({B}-({H}/{R})*ln({D}*l^(-{R})+(1-{D})*k^(-{R}))) in(B 1 H 1 R 1 > D 0.5) lag(4) -------------------------------------------------------------------------------
. clear all . sysuse lmadwnl.dta , clear . gen ly=ln(y) . lmadwnl ly, fun({B}-({H}/{R})*ln({D}*l^(-{R})+(1-{D})*k^(-{R}))) in(B 1 H 1 R > 1 D 0.5) lag(4)
Source | SS df MS -------------+------------------------------ Number of obs = 30 Model | 59.529144 3 19.843048 R-squared = 0.9713 Residual | 1.7610762 26 .0677337 Adj R-squared = 0.9680 -------------+------------------------------ Root MSE = .260257 Total | 61.2902202 29 2.11345587 Res. dev. = .0781436
------------------------------------------------------------------------------ ly | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- /B | .1244908 .0783444 1.59 0.124 -.0365483 .28553 /H | 1.012594 .0506832 19.98 0.000 .9084134 1.116775 /R | 3.010934 2.323389 1.30 0.206 -1.764861 7.786728 /D | .3366735 .1361129 2.47 0.020 .0568895 .6164575 ------------------------------------------------------------------------------ Parameter B taken as constant term in model & ANOVA table
============================================================================== *** NLS Autocorrelation Durbin-Watson Test ============================================================================== Ho: No Autocorrelation - Ha: Autocorrelation ------------------------------------------------------------------------------ - Rho Value for Order(1) AR(1)= 0.0271 - Durbin-Watson Test AR(1)= 1.8773 df: (4 , 30) ------------------------------------------------------------------------------ - Rho Value for Order(2) AR(2)= 0.0098 - Durbin-Watson Test AR(2)= 1.7860 df: (4 , 30) ------------------------------------------------------------------------------ - Rho Value for Order(3) AR(3)= -0.0134 - Durbin-Watson Test AR(3)= 1.7747 df: (4 , 30) ------------------------------------------------------------------------------ - Rho Value for Order(4) AR(4)= -0.3725 - Durbin-Watson Test AR(4)= 2.4202 df: (4 , 30) ------------------------------------------------------------------------------
+---------+ ----+ 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
+------------------+ ----+ LMADWNL Citation +-------------------------------------------------
Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2012) LMADWNL: "NLS Autocorrelation Durbin-Watson Test at Higher Order AR(p)"
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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