-------------------------------------------------------------------------------
help: lmalb                                                        dialog: lmal
> b
-------------------------------------------------------------------------------


        +-------+
    ----+ Title +------------------------------------------------------------

 lmalb: Ljung-Box Autocorrelation LM Test at Higher Order AR(p)


        +--------+
    ----+ Syntax +-----------------------------------------------------------

        lmalb depvar indepvars [if] [in] [weight] , [ lags(numlist)
                noconstant vce(vcetype) ]
 

        +---------+
    ----+ Options +----------------------------------------------------------

      lags(#)             determine Order of Lag Length; default is lag(1).

      noconstant          suppress constant term

    SE/Robust
      vce(vcetype)        vcetype may be ols, robust, cluster clustvar,
                            bootstrap, jackknife, hc2, or hc3


        +-------------+
    ----+ Description +------------------------------------------------------

  lmalb computes Ljung-Box Autocorrelation LM Test after regress command.
 
  lmalb detects autocorrelation at Higher Order AR(p), more than AR(1).


                                  J
    Ljung-Box LM test = N(N+2) [ Sum(Rho_i^2/(N-k)) ] ~ Chi2(J)
                                 i=1
where
       N = Number of Observations.
       k = Number of Parameters.
       J = Order of Lag Length.
   Rho_i = Autoregressive Coefficient of Lag i.


        +---------------+
    ----+ Saved Results +----------------------------------------------------

    lmadurh saves the following in r():

    Scalars
      r(rho_#)    Rho Value at Order AR(i)
      r(bpl_#)    Ljung-Box Autocorrelation LM Test at Order AR(i)
      r(bplp_#)   Ljung-Box Autocorrelation LM Test P-Value at Order AR(i)


        +----------+
    ----+ Examples +---------------------------------------------------------

        clear all

        db lmalb

        sysuse lmalb.dta , clear

        lmalb y x1 x2 , lags(1)

        lmalb y x1 x2 , lags(4)

        return list


   =============================================
   * Ljung-Box Autocorrelation LM Test         *
   =============================================
    Ho: No Autocorrelation - Ha: Autocorrelation
   -----------------------------------------------------------------
   * Rho Value for         AR(1) =   -0.1455
   * Ljung-Box LM Test     AR(1) =    0.4272   P>Chi2(1) 0.5133
   -----------------------------------------------------------------
   * Rho Value for         AR(2) =   -0.2231
   * Ljung-Box LM Test     AR(2) =    1.4994   P>Chi2(2) 0.4725
   -----------------------------------------------------------------
   * Rho Value for         AR(3) =    0.1871
   * Ljung-Box LM Test     AR(3) =    2.3074   P>Chi2(3) 0.5111
   -----------------------------------------------------------------
   * Rho Value for         AR(4) =   -0.3002
   * Ljung-Box LM Test     AR(4) =    4.5463   P>Chi2(4) 0.3371
   -----------------------------------------------------------------


        +------------+
    ----+ References +-------------------------------------------------------

    Damodar Gujarati (1995) "Basic Econometrics" 3rd Edition, McGraw Hill,
        New York, USA; 717.

    Ljung, G. & George Box (1979) "On a Measure of Lack of Fit in Time Series
        Models", Biometrika, Vol. 66; 265–270.


        +--------+
    ----+ Author +-----------------------------------------------------------

  Emad Abd Elmessih Shehata
  Assistant Professor
  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


        +----------------+
    ----+ lmalb Citation +---------------------------------------------------

    Shehata, Emad Abd Elmessih (2011)
    "lmalb: Stata Module to Compute Ljung-Box Autocorrelation LM Test at
        Higher Order AR(p) after OLS Regression"


Also see

    Online: lmareg3, lmadurh, lmalb, lmabp, lmadw, lmavon (if installed).