{smcl} {hline} {cmd:help: {helpb lmanlsur}}{space 50} {cmd:dialog:} {bf:{dialog lmanlsur}} {hline} {bf:{err:{dlgtab:Title}}} {bf:lmanlsur: Overall System NL-SUR Autocorrelation Tests} {bf:{err:{dlgtab:Syntax}}} {cmd: lmanlsur} {bf:{err:{dlgtab:Description}}} {p 2 2 2}lmanlsur computes overall NL-SUR system autocorrelation, after:{p_end} {p 2 2 2}- (NL-SUR) Non Linear Seemingly Unrelated Regression Estimation {helpb nlsur} for sets of equations.{p_end} {p 2 2 2}lmanlsur calculates Harvey and Guilkey autocorrelation LM tests:{p_end} {p 4 2 2}- Harvey LM test, see Judge et al(1985, p.494) eq.12.3.45.{p_end} {p 4 2 2}- Guilkey LM test, see Judge et al(1985, p.494) eq.12.3.46.{p_end} {p 4 2 2}- Durbin-Watson DW test.{p_end} {cmd:1- Harvey Single Equation LM test} = N(Rho_i) ~ Chi2(1) Ho: No Autocorrelation in eq. # : Pij=0 Q {cmd:2- Harvey Overall System LM test} = N [ Sum(Rho_i) ] ~ Chi2(Q) i=1 {cmd:3- Guilkey Overall System LM test} = R'[ inv(Sig) # E1'E1 ] R ~ Chi2(Q^2) Ho: No Autocorrelation in the Overall System: P11 = P22 = PMM = 0 where N = Number of Observations. Q = Number of Equations. Rho_i = Autoregressive Coefficient of eq. i E1 = Lagged Residuals Matrix [(N-1)xQ]. R = Vector of Rho Coefficients. Sig = Sigma hat Matrix. {bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:lmanlsur} saves the following in {cmd:r()}: {synoptset 12 tabbed}{...} {p2col 5 12 12 2: Scalars}{p_end} {synopt:{cmd:r(rho_#)}}Rho Value for eq.#{p_end} {synopt:{cmd:r(lmh_#)}}Durbin-Watson Single Equation Test for eq.#{p_end} {synopt:{cmd:r(lmh_#)}}Harvey Single Equation LM Test for eq.#{p_end} {synopt:{cmd:r(lmhp_#)}}Harvey Single Equation LM Test P-Value for eq.#{p_end} {synopt:{cmd:r(lmh)}}Harvey Overall System Autocorrelation LM test{p_end} {synopt:{cmd:r(lmhp)}}Harvey Overall System Autocorrelation LM test P-Value{p_end} {synopt:{cmd:r(lmg)}}Guilkey Overall System Autocorrelation LM test{p_end} {synopt:{cmd:r(lmgp)}}Guilkey Overall System Autocorrelation LM test P-Value{p_end} {bf:{err:{dlgtab:References}}} {p 4 8 2}Guilkey, David K. (1974) {cmd: "Alternative Tests for a First-Order Vector Autoregressive Error Specification",} {it:Journal of Econometrics, vol.2(1)}; 95-104. {p 4 8 2}Guilkey, David K. (1975) {cmd: "A Test for the Presence of First-Order Vector Autoregressive Errors When Lagged Endogenous Variables Are Present",} {it:Econometrica, vol.43, July}; 711-117. {p 4 8 2}Guilkey, David K. Peter Schmidt (1973) {cmd: "Estimation of Seemingly Unrelated Regression Equations with First-Order Autoregressive Errors",} {it:Journal of the American Statistical Association, vol. 68, September; 642-647. {p 4 8 2}Harvey, Andrew C. (1982) {cmd: "A Test of Misspecification for Systems of Equations",} {it:Discussion Paper No. A31, London School of. Economics Econometrics Programme, London, England}. {p 4 8 2}Harvey, Andrew C. (1990) {cmd: "The Econometric Analysis of Time Series",} {it:2nd Edition, MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x}. {p 4 8 2}Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985) {cmd: "The Theory and Practice of Econometrics",} {it:2nd ed., John Wiley & Sons, Inc., New York, USA}; 494. {bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse lmanlsur.dta , clear} * (1) NL-SUR Model: {stata nlsur (y1={B10}+{B11}*y2+{B12}*x1+{B13}*x2) (y2={B20}+{B21}*y1+{B22}*x3+{B23}*x4)} {stata lmanlsur} {stata return list} * (2) SUR Model: {stata sureg (y1 y2 x1 x2) (y2 y1 x3 x4)} {stata lmanlsur} {stata return list} . clear all . sysuse lmanlsur.dta , clear . nlsur (y1={B10}+{B11}*y2+{B12}*x1+{B13}*x2) (y2={B20}+{B21}*y1+{B22}*x3+{B23}*x4) FGNLS regression --------------------------------------------------------------------- Equation | Obs Parms RMSE R-sq Constant ----------------+---------------------------------------------------- 1 y1 | 20 4 125.6433 0.8266 B10 2 y2 | 20 4 19.52663 0.7801 B20 --------------------------------------------------------------------- ------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- /B10 | -68.61381 119.3219 -0.58 0.565 -302.4804 165.2528 /B11 | 6.586666 .6994811 9.42 0.000 5.215708 7.957623 /B12 | .0771727 .0496441 1.55 0.120 -.020128 .1744733 /B13 | -.3247027 .2355698 -1.38 0.168 -.7864111 .1370056 /B20 | 11.0109 24.11753 0.46 0.648 -36.25859 58.28038 /B21 | .137451 .0141117 9.74 0.000 .1097926 .1651094 /B22 | -.0018792 .0116164 -0.16 0.871 -.0246469 .0208885 /B23 | -.0024405 .0142685 -0.17 0.864 -.0304061 .0255252 ------------------------------------------------------------------------------ . lmanlsur ============================================================================== * NL-SUR System Autocorrelation Tests ============================================================================== *** Single Equation Autocorrelation Tests: Ho: No Autocorrelation in eq. #: Pij=0 Eq. 1 : Harvey LM Test = 3.6355 Rho = 0.1818 P-Value > Chi2(1) 0.0566 Eq. 2 : Harvey LM Test = 3.2207 Rho = 0.1610 P-Value > Chi2(1) 0.0727 ------------------------------------------------------------------------------ Eq. 1 : Durbin-Watson DW Test = 1.1244 Eq. 2 : Durbin-Watson DW Test = 1.1598 ------------------------------------------------------------------------------ *** Overall System NL-SUR Autocorrelation Tests: Ho: No Overall System Autocorrelation: P11 = P22 = PMM = 0 - Harvey LM Test = 6.8562 P-Value > Chi2(2) 0.0324 - Guilkey LM Test = 4.3428 P-Value > Chi2(4) 0.3616 ------------------------------------------------------------------------------ {bf:{err:{dlgtab:Author}}} {hi:Emad Abd Elmessih Shehata} {hi:Assistant Professor} {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"}} {bf:{err:{dlgtab:lmanlsur Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih (2012)}{p_end} {p 1 10 1}{cmd:LMANLSUR: "Overall System NL-SUR Autocorrelation Tests"}{p_end} {title:Online Help:} {p 2 10 2} {helpb lmanlsur}, {helpb lmhnlsur}, {helpb lmnnlsur}, {helpb lmcovnlsur}, {helpb r2nlsur}{p_end} {p 2 10 2} {helpb lmareg3}, {helpb lmhreg3}, {helpb lmnreg3}, {helpb lmcovreg3}, {helpb r2reg3}{p_end} {p 2 10 2} {helpb lmasem}, {helpb lmhsem}, {helpb lmnsem}, {helpb lmcovsem}, {helpb r2sem}. {opt (if installed)}.{p_end} {psee} {p_end}