help: lmcovxt dialog:

Title

lmcovxt: Panel Data Breusch-Pagan Diagonal Covariance Matrix LM Test

Table of Contents

Syntax

Options

Description

Saved Results

References

*** Examples

Author

Syntax

lmcovxt depvar indepvars [if] [in] [weight] , id(var) it(var) [noconstant vce(vcetype) level(#)]

Options

* id(var) Cross Sections ID variable name
* it(#) Time Series ID variable name

noconstant suppress constant term

vce(vcetype) ols, robust, cluster, bootstrap, jackknife, hc2, hc3

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

Description

lmcovxt computes Panel Data Breusch-Pagan Diagonal Covariance Matrix LM Test.

for balanced cross sections data.

Ho: Null hypothesis of diagonal covariance matrix means no cross-section correlation. LM test has an asymptotic Chi2 distribution with [N(N-1)/2] degrees of freedom.

Saved Results

lmcovxt saves the following in r():

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..

Greene, William (2007)
"Econometric Analysis",
6th ed., Macmillan Publishing Company Inc., New York, USA..

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.

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 lmcovxt.dta, clear

db lmcovxt

lmcovxt y x1 , id(id) it(t)

==============================================================================
* Panel Data Breusch-Pagan Diagonal Covariance Matrix LM Test
==============================================================================
Ho: Run OLS Regression - Ha: Run Panel Regression

Lagrange Multiplier Test = 25.23999
Degrees of Freedom = 6.0
P-Value > Chi2(6) = 0.00031
==============================================================================

Author

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

LMCOVXT Citation

Shehata, Emad Abd Elmessih (2012)

LMCOVXT: "Stata Module to Compute Panel Data Breusch-Pagan Diagonal Covariance Matrix LM Test"

http://ideas.repec.org/c/boc/bocode/s457412.html

http://econpapers.repec.org/software/bocbocode/s457412.htm

Online Help:

Official: xtdpd, xtfrontier, xtgls, xtivreg, xtpcse, xtrc, xtreg, xtregar, xttobit.

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* Breusch-Pagan Diagonal Covariance Matrix Test:
lmcovreg3 (3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix Test
lmcovsem (SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test
lmcovnlsur (NL-SUR) 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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Panel Data Regression Models:
diagxt Panel Data Models: Ridge & Weighted Regression
xtregdhp Han-Philips (2010) Linear Dynamic Panel Data Regression
xtregam Amemiya Random-Effects Panel Data: Ridge & Weighted Regression
xtregbem Between-Effects Panel Data: Ridge & Weighted Regression
xtregbn Balestra-Nerlove Random-Effects Panel Data: Ridge & Weighted Regression
xtregfem Fixed-Effects Panel Data: Ridge & Weighted Regression
xtregmle Trevor Breusch MLE Random-Effects Panel Data: Ridge & Weighted Regression
xtregrem Fuller-Battese GLS Random-Effects Panel Data: Ridge & Weighted Regression
xtregsam Swamy-Arora Random-Effects Panel Data: Ridge & Weighted Regression
xtregwem Within-Effects Panel Data: Ridge & Weighted Regression
xtregwhm Wallace-Hussain Random-Effects Panel Data: Ridge & Weighted Regression
xtreghet MLE Random-Effects Multiplicative Heteroscedasticity Panel Data Regression
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Panel Data Tests:

* (1) * Autocorrelation Tests:
lmaxt Panel Data Autocorrelation Tests
lmabxt Panel Data Autocorrelation Baltagi Test
lmabgxt Panel Data Autocorrelation Breusch-Godfrey Test
lmabpxt Panel Data Autocorrelation Box-Pierce Test
lmabpgxt Panel Data Autocorrelation Breusch-Pagan-Godfrey Test
lmadurhxt Panel Data Autocorrelation Dynamic Durbin h and Harvey LM Tests
lmadurmxt Panel Data Autocorrelation Dynamic Durbin m Test
lmadwxt Panel Data Autocorrelation Durbin-Watson Test
lmavonxt Panel Data Von Neumann Ratio Autocorrelation Test
lmawxt Panel Data Autocorrelation Wooldridge Test
lmazxt Panel Data Autocorrelation Z Test
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* (2) * Heteroscedasticity Tests:
lmhxt Panel Data Heteroscedasticity Tests
lmhgwxt Panel Data Groupwise Heteroscedasticity Tests
ghxt Panel Groupwise Heteroscedasticity Tests
lmhlmxt Panel Data Groupwise Heteroscedasticity Breusch-Pagan LM Test
lmhlrxt Panel Data Groupwise Heteroscedasticity Greene LR Test
lmharchxt Panel Data Heteroscedasticity Engle (ARCH) Test
lmhcwxt Panel Data Heteroscedasticity Cook-Weisberg Test
lmhglxt Panel Data Heteroscedasticity Glejser Test
lmhharvxt Panel Data Heteroscedasticity Harvey Test
lmhhpxt Panel Data Heteroscedasticity Hall-Pagan Test
lmhmssxt Panel Data Heteroscedasticity Machado-Santos-Silva Test
lmhwaldxt Panel Data Heteroscedasticity Wald Test
lmhwhitext Panel Data Heteroscedasticity White Test
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* (3) * Non Normality Tests:
lmnxt Panel Data Non Normality Tests
lmnadxt Panel Data Non Normality Anderson-Darling Test
lmndhxt Panel Data Non Normality Doornik-Hansen Test
lmndpxt Panel Data Non Normality D'Agostino-Pearson Test
lmngryxt Panel Data Non Normality Geary Runs Test
lmnjbxt Panel Data Non Normality Jarque-Bera Test
lmnwhitext Panel Data Non Normality White Test
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* (4) * Panel Data Error Component Tests:
lmecxt Panel Data Error Component Tests
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* (5) * Panel Data Diagonal Covariance Matrix Test:
lmcovxt Panel Data Breusch-Pagan Diagonal Covariance Matrix LM Test
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* (6) * Panel Data ModeL Selection Diagnostic Criteria:
diagxt Panel Data ModeL Selection Diagnostic Criteria
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* (7) * Panel Data Specification Tests:
lmhausxt Panel Data Hausman Specification Test
resetxt Panel Data REgression Specification Error Tests (RESET)
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* (8) * Panel Data Identification Variables:
xtidt Identification Variables in Panel Data
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