+-------+ ----+ Title +------------------------------------------------------------
lmfreg2: 2SLS-IV Linear vs Log-Linear Functional Form Tests
+-------------------+ ----+ Table of Contents +------------------------------------------------
Syntax Description Model GMM Options Other Options Saved Results References
*** Examples
Authors
+--------+ ----+ Syntax +-----------------------------------------------------------
lmfreg2 depvar indepvars (endog = inst) [if] [in] , model(2sls, liml, gmm, melo, fuller, kclass) [ kc(#) kf(#) hetcov(type) noconstant noconexog ]
+-------------+ ----+ Description +------------------------------------------------------
lmfreg2 computes 2SLS-IV Linear vs Log-Linear Functional Form Tests for instrumental variables regression models, via 2sls, liml, melo, gmm, and kclass.
- R-squared - Log Likelihood Function (LLF) - Antilog R2 - Box-Cox Test - Bera-McAleer BM Test - Davidson-Mackinnon PE Test
+-------+ ----+ Model +------------------------------------------------------------
model description 2sls Two-Stage Least Squares (2SLS) liml Limited-Information Maximum Likelihood (LIML) melo Minimum Expected Loss (MELO) fuller Fuller k-Class LIML kclass Theil K-Class LIML gmm Generalized Method of Moments (GMM)
+-------------+ ----+ GMM Options +------------------------------------------------------
hetcov Options Description
hetcov(white) White Method hetcov(bart) Bartlett Method hetcov(dan) Daniell Method hetcov(nwest) Newey-West Method hetcov(parzen) Parzen Method hetcov(quad) Quadratic spectral Method hetcov(tent) Tent Method hetcov(trunc) Truncated Method hetcov(tukeym) Tukey-Hamming Method hetcov(tukeyn) Tukey-Hanning Method
+---------------+ ----+ Other Options +----------------------------------------------------
kf(#) Fuller k-Class LIML Value
kc(#) Theil k-Class LIML Value
noconstant Exclude Constant Term from RHS Equation only
noconexog Exclude Constant Term from all Equations (both RHS and Instrumental Equations). Results of using noconexog option are identical to Stata ivregress. The default of lmfreg2 is including Constant Term in both RHS and Instrumental Equations
+---------------+ ----+ Saved Results +----------------------------------------------------
lmfreg2 saves the following in e():
*** 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 +-------------------------------------------------------
Damodar Gujarati (1995) "Basic Econometrics" 3rd Edition, McGraw Hill, New York, USA; 210,265.
Greene, William (1993) "Econometric Analysis", 2nd ed., Macmillan Publishing Company Inc., New York, USA; 616-618.
Greene, William (2007) "Econometric Analysis", 6th ed., Upper Saddle River, NJ: Prentice-Hall; 387-388.
Griffiths, W., R. Carter Hill & George Judge (1993) "Learning and Practicing Econometrics", John Wiley & Sons, Inc., New York, USA; 602-606.
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; 615.
Kmenta, Jan (1986) "Elements of Econometrics", 2nd ed., Macmillan Publishing Company, Inc., New York, USA; 718.
Maddala, G. (1992) "Introduction to Econometrics", 2nd ed., Macmillan Publishing Company, New York, USA; 222-223, 358-366.
Park, S. (1982) "Some Sampling Properties of Minimum Expected Loss (MELO) Estimators of Structural Coefficients", J. Econometrics, Vol. 18, No. 2, April,; 295-311.
White, Halbert (1980) "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity", Econometrica, 48; 817-838.
William E. Griffiths, R. Carter Hill and George G. Judge (1993) "Learning and Practicing Econometrics", John Wiley & Sons, Inc., New York, USA.
Zellner, Arnold (1978) "Estimation of Functions of Population Means and Regression Coefficients Including Structural Coefficients: A Minimum Expected Loss (MELO) Approach", J. Econometrics, Vol. 8,; 127-158.
Zellner, Arnold & S. Park (1979) "Minimum Expected Loss (MELO) Estimators for Functions of Parameters and Structural Coefficients of Econometric Models", J. Am. Stat. Assoc., Vol. 74; 185-193.
+----------+ ----+ Examples +---------------------------------------------------------
clear all
sysuse lmfreg2.dta , clear
db lmfreg2
lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(melo) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(liml) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(fuller) kf(0.5) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(kclass) kc(0.5) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(white) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(bart) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(dan) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(nwest) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(parzen) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(quad) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tent) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(trunc) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeym) lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeyn) -------------------------------------------------------------------------------
. clear all . sysuse lmfreg2.dta , clear . lmfreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls)
============================================================================== * Two Stage Least Squares (2SLS) ============================================================================== y1 = y2 + x1 + x2 ------------------------------------------------------------------------------ Sample Size = 17 Wald Test = 79.9520 | P-Value > Chi2(3) = 0.0000 F-Test = 26.6507 | P-Value > F(3 , 13) = 0.0000 (Buse 1973) R2 = 0.8592 | Raw Moments R2 = 0.9954 (Buse 1973) R2 Adj = 0.8267 | Raw Moments R2 Adj = 0.9944 Root MSE (Sigma) = 10.2244 | Log Likelihood Function = -61.3630 ------------------------------------------------------------------------------ - R2h= 0.8593 R2h Adj= 0.8268 F-Test = 26.46 P-Value > F(3 , 13) 0.0000 - R2v= 0.8765 R2v Adj= 0.8480 F-Test = 30.75 P-Value > F(3 , 13) 0.0000 ------------------------------------------------------------------------------ y1 | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y2 | .237333 .2422811 0.98 0.345 -.2860835 .7607495 x1 | .2821278 .5433329 0.52 0.612 -.8916715 1.455927 x2 | -1.044795 .362648 -2.88 0.013 -1.828248 -.2613411 _cons | 145.8444 61.72083 2.36 0.034 12.50468 279.1842 ------------------------------------------------------------------------------ * Y = LHS Dependent Variable: 1 = y1 * Yi = RHS Endogenous Variables: 1 = y2 * Xi = RHS Included Exogenous Vars: 2 = x1 x2 * Xj = RHS Excluded Exogenous Vars: 2 = x3 x4 * Z = Overall Instrumental Vars: 4 = x1 x2 x3 x4
============================================================================== * 2SLS-IV Linear vs Log-Linear Functional Form Tests - Model= (2sls) ============================================================================== (1) R-squared Linear R2 = 0.8592 Log-Log R2 = 0.8756 ------------------------------------------------------------------------------ (2) Log Likelihood Function (LLF) LLF - Linear = -61.3630 LLF - Log-Log = -60.6539 ------------------------------------------------------------------------------ (3) Antilog R2 Linear vs Log-Log: R2Lin = 0.8434 Log-Log vs Linear : R2log = 0.8853 ------------------------------------------------------------------------------ (4) Box-Cox Test = 1.1614 P-Value > Chi2(1) 0.2812 Ho: Choose Log-Log Model - Ha: Choose Linear Model ------------------------------------------------------------------------------ (5) Bera-McAleer BM Test Ho: Choose Linear Model = 0.3475 P-Value > F(1, 12) 0.5665 Ho: Choose Log-Log Model = 1.3163 P-Value > F(1, 12) 0.2736 ------------------------------------------------------------------------------ (6) Davidson-Mackinnon PE Test Ho: Choose Linear Model = 0.3928 P-Value > F(1, 12) 0.5426 Ho: Choose Log-Log Model = 1.4537 P-Value > F(1, 12) 0.2512 ------------------------------------------------------------------------------
+---------+ ----+ Authors +----------------------------------------------------------
- Emad Abd Elmessih Shehata Professor (PhD Economics) 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
- 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
+------------------+ ----+ LMFREG2 Citation +-------------------------------------------------
Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2012) LMFREG2: "2SLS-IV Linear vs Log-Linear Functional Form Tests"
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