{smcl} {hline} {cmd:help: {helpb lmfreg}}{space 50} {cmd:dialog:} {bf:{dialog lmfreg}} {hline} {bf:{err:{dlgtab:Title}}} {bf: lmfreg: OLS Linear vs Log-Linear Functional Form Tests} {bf:{err:{dlgtab:Syntax}}} {p 8 16 2} {opt lmfreg} {depvar} {indepvars} {ifin} , [ {opt nocons:tant} {opt coll} ]{p_end} {bf:{err:{dlgtab:Options}}} {synoptset 20 tabbed}{...} {col 3}{opt nocons:tant}{col 20}suppress constant term {col 3}{opt coll}{col 20}Keep Collinear Variables {bf:{err:{dlgtab:Description}}} {p 2 2 2}{cmd:lmfreg} computes OLS Linear vs Log-Linear Functional Form Tests.{p_end} - R-squared - Log Likelihood Function (LLF) - Antilog R2 - Box-Cox Test - Bera-McAleer BM Test - Davidson-Mackinnon PE Test {bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:lmfreg} saves the following in {cmd:e()}: {synoptset 12 tabbed}{...} {p2col 5 10 10 2: Scalars}{p_end} {err:*** Linear vs Log-Linear Functional Form Tests:} {col 4}{cmd:e(r2lin)}{col 20}Linear R2 {col 4}{cmd:e(r2log)}{col 20}Log-Log R2 {col 4}{cmd:e(llflin)}{col 20}LLF - Linear {col 4}{cmd:e(llflog)}{col 20}LLF - Log-Log {col 4}{cmd:e(r2lina)}{col 20}Antilog R2 Linear vs Log-Log: R2Lin {col 4}{cmd:e(r2loga)}{col 20}Antilog R2 Log-Log vs Linear: R2log {col 4}{cmd:e(boxcox)}{col 20}Box-Cox Test {col 4}{cmd:e(boxcoxp)}{col 20}Box-Cox Test P-Value {col 4}{cmd:e(bmlin)}{col 20}Bera-McAleer BM Test - Linear ModeL {col 4}{cmd:e(bmlinp)}{col 20}Bera-McAleer BM Test - Linear ModeL P-Value {col 4}{cmd:e(bmlog)}{col 20}Bera-McAleer BM Test - Log-Log ModeL {col 4}{cmd:e(bmlogp)}{col 20}Bera-McAleer BM Test - Log-Log ModeL P-Value {col 4}{cmd:e(dmlin)}{col 20}Davidson-Mackinnon PE Test - Linear ModeL {col 4}{cmd:e(dmlinp)}{col 20}Davidson-Mackinnon PE Test - Linear ModeL P-Value {col 4}{cmd:e(dmlog)}{col 20}Davidson-Mackinnon PE Test - Log-Log ModeL {col 4}{cmd:e(dmlogp)}{col 20}Davidson-Mackinnon PE Test - Log-Log ModeL P-Value {bf:{err:{dlgtab:References}}} {p 4 8 2}Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988) {cmd: "Introduction To The Theory And Practice Of Econometrics",} {it:2nd ed., John Wiley & Sons, Inc., New York, USA}. {p 4 8 2}Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985) {cmd: "The Theory and Practice of Econometrics",} {it:2nd ed., John Wiley & Sons, Inc., New York, USA}; 242. {bf:{err:{dlgtab:Examples}}} {stata clear all} {stata db lmfreg} {stata sysuse lmfreg.dta, clear} {stata lmfreg y x1 x2} {stata 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 ------------------------------------------------------------------------------ {bf:{err:{dlgtab:Authors}}} - {hi:Emad Abd Elmessih Shehata} {hi:Professor (PhD Economics)} {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"}} - {hi:Sahra Khaleel A. Mickaiel} {hi:Professor (PhD Economics)} {hi:Cairo University - Faculty of Agriculture - Department of Economics - Egypt} {hi:Email: {browse "mailto:sahra_atta@hotmail.com":sahra_atta@hotmail.com}} {hi:WebPage:{col 27}{browse "http://sahraecon.110mb.com/stata.htm"}} {hi:WebPage at IDEAS:{col 27}{browse "http://ideas.repec.org/f/pmi520.html"}} {hi:WebPage at EconPapers:{col 27}{browse "http://econpapers.repec.org/RAS/pmi520.htm"}} {bf:{err:{dlgtab:lmfreg Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2012)}{p_end} {p 1 10 1}{cmd:LMFREG: "OLS Linear vs Log-Linear Functional Form Tests"}{p_end} {browse "http://ideas.repec.org/c/boc/bocode/s457507.html"} {browse "http://econpapers.repec.org/software/bocbocode/s457507.htm"} {title:Online Help:} {helpb lmfreg}{col 14}OLS Linear vs Log-Linear Functional Form Tests {helpb lmfreg2}{col 14}2SLS-IV Linear vs Log-Linear Functional Form Tests {psee} {p_end}