help: lmcovvar dialog:

Title

lmcovvar: (VAR) Breusch-Pagan Diagonal Covariance Matrix Test

Table of Contents

Syntax

Options

Description

Saved Results

References

*** Examples

Authors

Syntax

lmcovvar depvars [if] [in] , [ noconstant lags(numlist)
exog(varlist)

nolog constraints(numlist) iterate(#) dfk nobigf lutstats small

tolerance(#) noisure nocnsreport level(#) ]

Options

Model

noconstant suppress constant term

lags(#/#) Dependent Variables Lag length; default is (1/1)

exog(varlist) use exogenous variables varlist

Model 2
constraints(numlist) apply specified linear constraints

nolog suppress SURE iteration log

tolerance(#) set convergence tolerance of SURE

noisure use one-step SURE

dfk make small-sample degrees-of-freedom adjustment

small report small-sample t and F statistics

nobigf do not compute parameter vector for coefficients implicitly set to zero

iterate(#) set maximum number of iterations for SURE; default is iterate(1600)

Reporting
level(#) set confidence level; default is level(95)

lutstats report Lütkepohl lag-order selection statistics

nocnsreport do not display constraints

*** tsset must be used before using lmcovvar

depvarlist and varlist may contain time-series operators; see tsvarlist

Description

lmcovvar computes Breusch-Pagan Diagonal Covariance Matrix Test after:

- (VAR) Vector Autoregressive Model (var).

- lmcovvar options are identically to official (var) command.

- (var) model with SURE estimations assumes:

1- Independence of the errors in each eqution or no correlations between different periods in the same equation.

2- no correlations between the errors for any of two equtions between two different periods, this is called "Intertemporal Correlation".

3- correlations may be exist between different two equations, but at the same period, and this is called "Contemporaneous Correlation".

4- SURE can be applied when there is correlations between different two equations at the same period, or if the independent variables are differnt from equation to equation.

5- If "Contemporaneous Correlation" does not exist, ordinary least squares (OLS) can be applied separately to each equation, the results are fully efficient and there is no need to estimate SURE.

Breusch-Pagan Diagonal Covariance Matrix LM Test can test whether contemporaneous diagonal covariance matrix is 0. (Independence of the Errors), or correlated if at least one covariance is nonzero.

Ho: no Contemporaneous Correlation: Sig12 = Sig13 = Sig23 = ... = 0.

Ha: Contemporaneous Correlation: at least one Covariance is nonzero.

Saved Results

lmcovvar saves the following in r():

Scalars

r(lmcov) LM Diagonal Covariance Matrix Test
r(lmcovp) LM Diagonal Covariance Matrix Test P-Value
r(lmcovdf) Chi2 Degrees of Freedom

References

Greene, William (1993)
"Econometric Analysis",
2nd ed., Macmillan Publishing Company Inc., New York, USA.; 490-491.

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; 758-763.

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; 477-478.

Kmenta, Jan (1986)
"Elements of Econometrics",
2nd ed., Macmillan Publishing Company, Inc., New York, USA; 645.

Examples

clear all
sysuse lmcovvar.dta , clear
tsset t
lmcovvar y1 y2, lags(1/1) exog(x1 x2)
return list

* If you want to use dialog box: Press OK to compute lmcovvar

db lmcovvar

* This example is taken from:

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; 758-763.

clear all
sysuse lmcovvar.dta , clear
tsset t

lmcovvar y1 y2 in 5/71 , lags(1/1)
lmcovvar y1 y2 in 5/71 , lags(1/2)
lmcovvar y1 y2 in 5/71 , lags(1/3)

return list

. clear all
. sysuse lmcovvar.dta , clear
. tsset t
. lmcovvar y1 y2 in 5/71 , lags(1/1)

Vector autoregression

Sample: 5 - 71 No. of obs = 67
Log likelihood = -566.0542 AIC = 17.07625
FPE = 89376.34 HQIC = 17.15437
Det(Sigma_ml) = 74711.32 SBIC = 17.27368

Equation Parms RMSE R-sq chi2 P>chi2
----------------------------------------------------------------
y1 3 16.6829 0.2878 27.07799 0.0000
y2 3 19.9034 0.1863 15.33891 0.0005
----------------------------------------------------------------

------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y1 |
y1 |
L1. | -.0903073 .1279538 -0.71 0.480 -.3410921 .1604774
|
y2 |
L1. | .5189002 .114004 4.55 0.000 .2954564 .742344
|
_cons | 7.949964 2.585932 3.07 0.002 2.88163 13.0183
-------------+----------------------------------------------------------------
y2 |
y1 |
L1. | .1970232 .1526549 1.29 0.197 -.1021748 .4962212
|
y2 |
L1. | .297665 .1360122 2.19 0.029 .0310861 .564244
|
_cons | 8.537288 3.085138 2.77 0.006 2.490528 14.58405
------------------------------------------------------------------------------

==============================================================================
* (VAR) Breusch-Pagan LM Diagonal Covariance Matrix Test
==============================================================================
Ho: Diagonal Disturbance Covariance Matrix (Independent Equations)
Ho: Run OLS - Ha: Run SUR

Lagrange Multiplier Test = 17.24311
Degrees of Freedom = 1.0
P-Value > Chi2(1) = 0.00003
==============================================================================

Authors

- Emad Abd Elmessih Shehata
Professor (PhD Economics)
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
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

- Sahra Khaleel A. Mickaiel
Professor (PhD Economics)
Cairo University - Faculty of Agriculture - Department of Economics - Egypt
Email: sahra_atta@hotmail.com
WebPage: http://sahraecon.110mb.com/stata.htm
WebPage at IDEAS: http://ideas.repec.org/f/pmi520.html
WebPage at EconPapers: http://econpapers.repec.org/RAS/pmi520.htm

LMCOVVAR Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2012)

LMCOVVAR: "(VAR) Breusch-Pagan Diagonal Covariance Matrix Test"

Online Help:

* Breusch-Pagan Diagonal Covariance Matrix Test:
lmcovnlsur (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test
lmcovreg3 (3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix Test
lmcovsem (SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test
lmcovvar (VAR) Breusch-Pagan Diagonal Covariance Matrix Test
lmcovxt Panel Data Breusch-Pagan Diagonal Covariance Matrix Test
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* (1) (3SLS-SUR) * Simultaneous Equations:
lmareg3 (3SLS-SUR) Overall System Autocorrelation Tests
lmhreg3 (3SLS-SUR) Overall System Heteroscedasticity Tests
lmnreg3 (3SLS-SUR) Overall System Non Normality Tests
lmcovreg3 (3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix
r2reg3 (3SLS-SUR) Overall System R2, F-Test, and Chi2-Test
diagreg3 (3SLS-SUR) Overall System ModeL Selection Diagnostic Criteria
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* (2) (SEM-FIML) * Structural Equation Modeling:
lmasem (SEM-FIML) Overall System Autocorrelation Tests
lmhsem (SEM-FIML) Overall System Heteroscedasticity Tests
lmnsem (SEM-FIML) Overall System Non Normality Tests
lmcovsem (SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test
r2sem (SEM-FIML) Overall System R2, F-Test, and Chi2-Test
diagsem (SEM-FIML) Overall System ModeL Selection Diagnostic Criteria
---------------------------------------------------------------------------
* (3) (NL-SUR) * Non Linear Seemingly Unrelated Regression:
lmanlsur (NL-SUR) Overall System Autocorrelation Tests
lmhnlsur (NL-SUR) Overall System Heteroscedasticity Tests
lmnnlsur (NL-SUR) Overall System Non Normality Tests
lmcovnlsur (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test
r2nlsur (NL-SUR) Overall System R2, F-Test, and Chi2-Test
diagnlsur (NL-SUR) Overall System ModeL Selection Diagnostic Criteria
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* (4) (VAR) * Vector Autoregressive Model:
lmavar (VAR) Overall System Autocorrelation Tests
lmhvar (VAR) Overall System Heteroscedasticity Tests
lmnvar (VAR) Overall System Non Normality Tests
lmcovvar (VAR) Breusch-Pagan Diagonal Covariance Matrix Test
r2var (VAR) Overall System R2, F-Test, and Chi2-Test
diagvar (VAR) Overall System ModeL Selection Diagnostic Criteria
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