help: lmfreg dialog:

Title

lmfreg: OLS Linear vs Log-Linear Functional Form Tests

Syntax

lmfreg depvar indepvars [if] [in] , [ noconstant coll ]

Options

noconstant suppress constant term

coll Keep Collinear Variables

Description

lmfreg computes OLS Linear vs Log-Linear Functional Form Tests.

- R-squared
- Log Likelihood Function (LLF)
- Antilog R2
- Box-Cox Test
- Bera-McAleer BM Test
- Davidson-Mackinnon PE Test

Saved Results

lmfreg saves the following in e():

Scalars

*** Linear vs Log-Linear Functional Form Tests:
e(r2lin) Linear R2
e(r2log) Log-Log R2
e(llflin) LLF - Linear
e(llflog) LLF - Log-Log
e(r2lina) Antilog R2 Linear vs Log-Log: R2Lin
e(r2loga) Antilog R2 Log-Log vs Linear: R2log
e(boxcox) Box-Cox Test
e(boxcoxp) Box-Cox Test P-Value
e(bmlin) Bera-McAleer BM Test - Linear ModeL
e(bmlinp) Bera-McAleer BM Test - Linear ModeL P-Value
e(bmlog) Bera-McAleer BM Test - Log-Log ModeL
e(bmlogp) Bera-McAleer BM Test - Log-Log ModeL P-Value
e(dmlin) Davidson-Mackinnon PE Test - Linear ModeL
e(dmlinp) Davidson-Mackinnon PE Test - Linear ModeL P-Value
e(dmlog) Davidson-Mackinnon PE Test - Log-Log ModeL
e(dmlogp) Davidson-Mackinnon PE Test - Log-Log ModeL P-Value

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.

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; 242.

Examples

clear all

db lmfreg

sysuse lmfreg.dta, clear

lmfreg y x1 x2

ereturn list

==============================================================================
* Ordinary Least Squares (OLS)
==============================================================================
y = x1 + x2
------------------------------------------------------------------------------
Sample Size = 17
Wald Test = 273.3662 | P-Value > Chi2(2) = 0.0000
F-Test = 136.6831 | P-Value > F(2 , 14) = 0.0000
(Buse 1973) R2 = 0.9513 | Raw Moments R2 = 0.9986
(Buse 1973) R2 Adj = 0.9443 | Raw Moments R2 Adj = 0.9984
Root MSE (Sigma) = 5.5634 | Log Likelihood Function = -51.6471
------------------------------------------------------------------------------
- R2h= 0.9513 R2h Adj= 0.9443 F-Test = 136.68 P-Value > F(2 , 14) 0.0000
- R2v= 0.9513 R2v Adj= 0.9443 F-Test = 136.68 P-Value > F(2 , 14) 0.0000
------------------------------------------------------------------------------
y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x1 | 1.061709 .2666739 3.98 0.001 .4897506 1.633668
x2 | -1.382986 .0838143 -16.50 0.000 -1.562749 -1.203222
_cons | 130.7066 27.09429 4.82 0.000 72.59515 188.8181
------------------------------------------------------------------------------
==============================================================================
*** OLS Linear vs Log-Linear Functional Form Tests
==============================================================================
(1) R-squared
Linear R2 = 0.9513
Log-Log R2 = 0.9711
---------------------------------------------------------------------------
(2) Log Likelihood Function (LLF)
LLF - Linear = -51.6471
LLF - Log-Log = -47.5914
---------------------------------------------------------------------------
(3) Antilog R2
Linear vs Log-Log: R2Lin = 0.9649
Log-Log vs Linear : R2log = 0.9576
---------------------------------------------------------------------------
(4) Box-Cox Test = 4.0556 P-Value > Chi2(1) 0.0440
Ho: Choose Log-Log Model - Ha: Choose Linear Model
---------------------------------------------------------------------------
(5) Bera-McAleer BM Test
Ho: Choose Linear Model = 11.9464 P-Value > F(1, 13) 0.0043
Ho: Choose Log-Log Model = 6.1092 P-Value > F(1, 13) 0.0280
---------------------------------------------------------------------------
(6) Davidson-Mackinnon PE Test
Ho: Choose Linear Model = 11.9462 P-Value > F(1, 13) 0.0043
Ho: Choose Log-Log Model = 6.1092 P-Value > F(1, 13) 0.0280
------------------------------------------------------------------------------

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

lmfreg Citation

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

LMFREG: "OLS Linear vs Log-Linear Functional Form Tests"

http://ideas.repec.org/c/boc/bocode/s457507.html

http://econpapers.repec.org/software/bocbocode/s457507.htm

Online Help:

lmfreg OLS Linear vs Log-Linear Functional Form Tests
lmfreg2 2SLS-IV Linear vs Log-Linear Functional Form Tests