-------------------------------------------------------------------------------
help: lmavon                                                        dialog: lma
> von
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        +-------+
    ----+ Title +------------------------------------------------------------

 lmavon: Von Neumann Ratio Autocorrelation Test at Higher Order AR(p)


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

        lmavon 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 +------------------------------------------------------

  lmavon computes Von Neumann Ratio Autocorrelation Test after regress
  command.
 
  lmavon detects autocorrelation at Higher Order AR(p), more than AR(1).


    Von Neumann Ratio Test = DW(i)*N/(N-1)

where
    DW(i) = Durbin-Watson Test = sum((E-`E'[n-i])^2)/sum(E^).
        N = Number of Observations.
    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(von_#)    Von Neumann Ratio Autocorrelation Test at Order AR(i)


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

        clear all

        db lmavon

        sysuse lmavon.dta , clear

        lmavon y x1 x2 , lags(1)

        lmavon y x1 x2 , lags(4)

        return list


   ====================================================
   * Von Neumann Ratio Autocorrelation Test           *
   ====================================================
    Ho: No Autocorrelation - Ha: Autocorrelation
   ---------------------------------------------------------------------------
   * Rho Value for              AR(1) =   -0.1455
   * Von Neumann Ratio Test     AR(1) =    2.1447   df: (3 , 17)
   ---------------------------------------------------------------------------
   * Rho Value for              AR(2) =   -0.2231
   * Von Neumann Ratio Test     AR(2) =    2.1632   df: (3 , 17)
   ---------------------------------------------------------------------------
   * Rho Value for              AR(3) =    0.1871
   * Von Neumann Ratio Test     AR(3) =    1.2703   df: (3 , 17)
   ---------------------------------------------------------------------------
   * Rho Value for              AR(4) =   -0.3002
   * Von Neumann Ratio Test     AR(4) =    2.1391   df: (3 , 17)
   ---------------------------------------------------------------------------


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

    Maddala, G. (1992) "Introduction to Econometrics", 2nd ed., Macmillan
        Publishing Company, New York, USA; 245.

    Von, Neumann (1941) "Distribution of the Ratio of the Mean Square
        Successive Difference to the Variance", Annals Math. Stat., Vol. 12;
        367-395.


        +--------+
    ----+ 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


        +-----------------+
    ----+ lmavon Citation +--------------------------------------------------

    Shehata, Emad Abd Elmessih (2011)
    "lmavon: Stata Module to Compute Von Neumann Ratio Autocorrelation Test
        at Higher Order AR(p) after OLS Regression"


Also see

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