{smcl} {hline} {cmd:help: {helpb lmareg3}}{space 55} {cmd:dialog:} {bf:{dialog lmareg3}} {hline} {bf:{err:{dlgtab:Title}}} {bf: lmareg3: Overall System Autocorrelation Tests after (3SLS-SURE) Regressions} {bf:{err:{dlgtab:Syntax}}} {cmd: lmareg3} {bf:{err:{dlgtab:Description}}} {p 2 2 2}lmareg3 computes overall system autocorrelation, after:{p_end} {p 2 2 2}- (3SLS) Three-Stage Least Squares {helpb reg3} for systems of simultaneous equations.{p_end} {p 2 2 2}- (SURE) Seemingly Unrelated Regression Estimation {helpb sureg} for sets of equations.{p_end} {p 2 2 2}lmareg3 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:lmareg3} 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:Examples}}} {stata clear all} {stata sysuse lmareg3.dta , clear} * (1) SUR Model: {stata sureg (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4)} {stata lmareg3} {stata return list} * (2) 3SLS Model: {stata reg3 (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4)} {stata lmareg3} {stata return list} * If you want to use dialog box: Press OK to compute lmareg3 {stata db lmareg3} . clear all . sysuse lmareg3.dta , clear . reg3 (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4) . lmhreg3 ================================================= * System Autocorrelation Tests (3sls) ================================================= *** Single Equation Autocorrelation Tests: Ho: No Autocorrelation in eq. #: Pij=0 Eq. y1 : Harvey LM Test = 4.8859 Rho = 0.2443 P-Value > Chi2(1) 0.0271 Eq. y2 : Harvey LM Test = 0.0028 Rho = 0.0001 P-Value > Chi2(1) 0.9577 Eq. y3 : Harvey LM Test = 4.9830 Rho = 0.2492 P-Value > Chi2(1) 0.0256 Eq. y4 : Harvey LM Test = 4.4273 Rho = 0.2214 P-Value > Chi2(1) 0.0354 ------------------------------------------------------------------------------ Eq. y1 : Durbin-Watson DW Test = 0.9323 Eq. y2 : Durbin-Watson DW Test = 1.9417 Eq. y3 : Durbin-Watson DW Test = 1.0017 Eq. y4 : Durbin-Watson DW Test = 1.0510 ------------------------------------------------------------------------------ *** Overall System Autocorrelation Tests: Ho: No Overall System Autocorrelation: P11 = P22 = PMM = 0 - Harvey LM Test = 14.2991 P-Value > Chi2(4) 0.0064 - Guilkey LM Test = 22.6759 P-Value > Chi2(16) 0.1227 ------------------------------------------------------------------------------ {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: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:lmareg3 Citation}}} {phang}Shehata, Emad Abd Elmessih (2011){p_end} {phang}{cmd:LMAREG3: "Stata Module to Compute Overall System Autocorrelation Tests after (3SLS-SURE) Regressions"}{p_end} {browse "http://ideas.repec.org/c/boc/bocode/s457345.html"} {browse "http://econpapers.repec.org/software/bocbocode/s457345.htm"} {title:Online Help:} {p 4 12 2} {helpb lmareg} {helpb lmareg2} {helpb lmareg3} {opt (if installed)}.{p_end} {psee} {p_end} {psee} {p_end}