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help: lmcovnlsur                                                   dialog: lmco
> vnlsur
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        +-------+
    ----+ Title +------------------------------------------------------------

    lmcovnlsur: Breusch-Pagan LM Diagonal Covariance Matrix Test after NL-SUR

        +-------------------+
    ----+ Table of Contents +------------------------------------------------

     Syntax
     Description
     Saved Results
     References

 *** Examples

     Author

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

          lmcovnlsur

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

  lmcovnlsur computes Breusch-Pagan LM Diagonal Covariance Matrix Test after:
   - (NL-SUR) Seemingly Unrelated Regression nlsur for sets of equations.
 

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

  lmcovnlsur saves the following in r():

   r(lmcov)        Lagrange Multiplier LM Test
   r(lmcovp)       Lagrange Multiplier LM Test P-Value
   r(lmcovdf)      Chi2 Degrees of Freedom

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

    Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl,
        & Tsoung-Chao Lee (1988) "Introduction To The Theory And Practice Of
        Econometrics", 2nd ed., John Wiley & Sons, Inc., New York, USA;
        456-461.

    Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, &
        Tsoung-Chao Lee(1985) "The Theory and Practice of Econometrics", 2nd
        ed., John Wiley & Sons, Inc., New York, USA.

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

 clear all

 sysuse lmcovnlsur.dta , clear

* (1) NL-SUR Model:

 nlsur (y1={B10}+{B11}*y2+{B12}*x1+{B13}*x2) (y2={B20}+{B21}*y1+{B22}*x3+{B23}*
> x4)

 lmcovnlsur

 return list

* (2) SUR Model:

 sureg (y1 y2 x1 x2) (y2 y1 x3 x4)

 lmcovnlsur

 return list

. clear all
. sysuse lmcovnlsur.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 |        17      4   8.827101    0.8628          B10
 2           y2 |        17      4   10.71362    0.8332          B20
---------------------------------------------------------------------

------------------------------------------------------------------------------
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        /B10 |   159.7348   48.37047     3.30   0.001     64.93046    254.5392
        /B11 |   .1440474   .1473363     0.98   0.328    -.1447264    .4328211
        /B12 |   .3736436   .4464905     0.84   0.403    -.5014617    1.248749
        /B13 |   -1.17085   .2398822    -4.88   0.000     -1.64101   -.7006895
        /B20 |   40.22012   31.80722     1.26   0.206    -22.12087    102.5611
        /B21 |  -.0911744   .2613464    -0.35   0.727    -.6034038    .4210551
        /B22 |  -.3973436   .2758714    -1.44   0.150    -.9380417    .1433545
        /B23 |   2.480269    1.01631     2.44   0.015     .4883381    4.472201
------------------------------------------------------------------------------

. lmcovnlsur
==============================================================================
* Breusch-Pagan LM Diagonal Covariance Matrix Test (fgnls) 
==============================================================================
    Ho: Diagonal Disturbance Covariance Matrix (Independent Equations)

    Lagrange Multiplier Test  =    0.00149
    Degrees of Freedom        =        1.0
    P-Value > Chi2(1)         =    0.96921
==============================================================================

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

        +---------------------+
    ----+ lmcovnlsur Citation +----------------------------------------------

 Shehata, Emad Abd Elmessih (2012)
 LMCOVNLSUR: "Breusch-Pagan Lagrange Multiplier Diagonal Covariance Matrix
          Test after (NL-SUR) Regressions"

Online Help:

  lmanlsur, lmhnlsur, lmnnlsur, lmcovnlsur, r2nlsur
  lmareg3, lmhreg3, lmnreg3, lmcovreg3, r2reg3
  lmasem, lmhsem, lmnsem, lmcovsem, r2sem. (if installed).