{smcl} {hline} {cmd:help: {helpb lmavon}}{space 55} {cmd:dialog:} {bf:{dialog lmavon}} {hline} {bf:{err:{dlgtab:Title}}} {bf: lmavon: Von Neumann Ratio Autocorrelation Test at Higher Order AR(p)} {bf:{err:{dlgtab:Syntax}}} {p 8 16 2} {opt lmavon} {depvar} {indepvars} {ifin} {weight} , [ {opt lag:s(numlist)} {opt nocons:tant} {opth vce(vcetype)} ]{p_end} {bf:{err:{dlgtab:Options}}} {synoptset 20 tabbed}{...} {synopt :{opt lag:s(#)}}determine Order of Lag Length; default is lag(1).{p_end} {synopt :{opt nocons:tant}}suppress constant term{p_end} {syntab:SE/Robust} {synopt :{opth vce(vcetype)}}{it:vcetype} may be {opt ols}, {opt r:obust}, {opt cl:uster} {it:clustvar}, {opt boot:strap}, {opt jack:knife}, {opt hc2}, or {opt hc3}{p_end} {bf:{err:{dlgtab:Description}}} {p 2 2 2}{cmd:lmavon} computes Von Neumann Ratio Autocorrelation Test after {helpb regress} command.{p_end} {p 2 2 2}{cmd:lmavon} detects autocorrelation at Higher Order AR(p), more than AR(1).{p_end} {cmd: 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. {bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:lmadurh} saves the following in {cmd:r()}: {synoptset 12 tabbed}{...} {p2col 5 10 10 2: Scalars}{p_end} {synopt:{cmd:r(rho_#)}}Rho Value at Order AR(i){p_end} {synopt:{cmd:r(von_#)}}Von Neumann Ratio Autocorrelation Test at Order AR(i){p_end} {bf:{err:{dlgtab:Examples}}} {stata clear all} {stata db lmavon} {stata sysuse lmavon.dta , clear} {stata lmavon y x1 x2 , lags(1)} {stata lmavon y x1 x2 , lags(4)} {stata 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) --------------------------------------------------------------------------- {bf:{err:{dlgtab:References}}} {p 4 8 2}Maddala, G. (1992) {cmd: "Introduction to Econometrics",} {it:2nd ed., Macmillan Publishing Company, New York, USA}; 245. {p 4 8 2}Von, Neumann (1941) {cmd: "Distribution of the Ratio of the Mean Square Successive Difference to the Variance",} {it:Annals Math. Stat., Vol. 12}; 367-395. {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:lmavon Citation}}} {phang}Shehata, Emad Abd Elmessih (2011){p_end} {phang}{cmd: "lmavon: Stata Module to Compute Von Neumann Ratio Autocorrelation Test at Higher Order AR(p) after OLS Regression"}{p_end} {title:Also see} {p 4 12 2}Online: {helpb lmareg3}, {helpb lmadurh}, {helpb lmalb}, {helpb lmabp}, {helpb lmadw}, {helpb lmavon} {opt (if installed)}.{p_end} {psee} {p_end}