*! lmharchxt V1.0 06/08/2015 *! *! 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 program define lmharchxt, eclass version 11.2 syntax varlist [if] [in] , id(str) it(str) [coll NOCONStant cross] gettoken yvar xvar : varlist qui marksample touse qui markout `touse' `varlist' , strok local both : list yvar & xvar if "`both'" != "" { di di as err " {bf:{cmd:`both'} included in both LHS and RHS Variables}" di as res " LHS: `yvar'" di as res " RHS: `xvar'" exit } if "`xvar'"=="" { di as err " {bf:Independent Variable(s) must be combined with Dependent Variable}" exit } if "`coll'"=="" { _rmcoll `varlist' if `touse' , `noconstant' `coll' forcedrop local varlist "`r(varlist)'" gettoken yvar xvar : varlist } tempvar absE D DE DF1 E dcs TimeN EE Eo Hat ht tempvar SST Time weit Wi Wio WS X X0 Bo Yh_ML Ue_ML Z tempvar Xb XB Xo XQ Yb Yh Yh2 Yhb Yho YY YYm YYv X X0 idv itv DF E2 P Q tempvar Hat ht LDE LE LEo wald Xb XB Yb Yh Yh2 Yhb Yho YY Z LE LEo P Q tempname b A B Beta Bx Cov D den DF Dim Dx E E1 Y Yh Yh_ML XQX_ tempname F In IPhi J K kb kx llf M N NC NT Ue_ML Sig2 SSE tempname P Phi Pm Q Sig2 Sig21 Sig2o YYm YYv SSE SSEo SST1 SST2 tempname Vec Vs W W1 W2 Wald We Wi V V1 Wi1 Wio WS WW WY X X0 XB Xg Xo xq qui xtset `id' `it' local idv "`r(panelvar)'" local itv "`r(timevar)'" scalar `NC'=r(imax) scalar `NT'= r(tmax) qui cap count if `touse' local N = r(N) qui gen `TimeN'=_n qui gen `Time'=_n if `touse' qui tsset `Time' if "`coll'"=="" { _rmcoll `xvar' if `touse' , `noconstant' `coll' forcedrop local xvar "`r(varlist)'" } qui gen `X0'=1 if `touse' qui mkmat `X0' if `touse' , matrix(`X0') mkmat `yvar' if `touse' , matrix(`Y') local kx : word count `xvar' if "`noconstant'"!="" { qui mkmat `xvar' if `touse' , matrix(`X') scalar `kb'=`kx' qui mean `xvar' if `touse' } else { qui mkmat `xvar' `X0' if `touse' , matrix(`X') scalar `kb'=`kx'+1 qui mean `xvar' `X0' if `touse' } scalar `DF'=`N'-`kb' qui cap drop `Time' qui gen `Time'=_n if `touse' qui tsset `Time' qui gen `Wi'=1 if `touse' qui gen `weit' = 1 if `touse' qui summ `weit' if `touse' mkmat `Wi' if `touse' , matrix(`Wi') matrix `Wi'=diag(`Wi') di di _dup(78) "{bf:{err:=}}" di as txt "{bf:{err:* Ordinary Least Squares (OLS) Regression}}" di _dup(78) "{bf:{err:=}}" matrix `Beta'=invsym(`X''*`X')*`X''*`Y' matrix `Ue_ML'=(`Y'-`X'*`Beta') matrix `Sig2'=`Ue_ML''*`Ue_ML'/`DF' matrix `Cov'=`Sig2'*invsym(`X''*`X') qui svmat `Ue_ML' , name(`Ue_ML') qui rename `Ue_ML'1 `Ue_ML' matrix `Yh_ML'=`X'*`Beta' qui svmat `Yh_ML' , name(`Yh_ML') qui rename `Yh_ML'1 `Yh_ML' if "`cross'"!="" { tempvar Yh E Ue_ML Yh_ML Ehat Yhat qui tab `id' if `touse' qui local C = r(r) qui local N = r(N) qui summ `id' if `touse' local cMin= r(min) local cMax= r(max) local cT = r(N) / `cMax' qui gen double `Ue_ML'= 0 if `touse' qui gen double `Yh_ML'= 0 if `touse' qui forvalues i = `cMin'/`cMax' { qui regress `yvar' `xvar' if `id' == `i' qui cap drop `Ehat' qui cap drop `Yhat' qui predict `Ehat' if `id' == `i', resid qui predict `Yhat' if `id' == `i' qui replace `Ue_ML' = `Ehat' if `id' == `i' qui replace `Yh_ML' = `Yhat' if `id' == `i' } qui mkmat `Ue_ML' if `touse' , matrix(`Ue_ML') qui mkmat `Yh_ML' if `touse' , matrix(`Yh_ML') } tempname SSEo Sigo r2bu r2bu_a r2raw r2raw_a f fp wald waldp tempname r2v r2v_a fv fvp r2h r2h_a fh fhp SSTm SSE1 SST11 SST21 Rho matrix `SSE'=`Ue_ML''*`Ue_ML' scalar `SSEo'=`SSE'[1,1] scalar `Sig2o'=`SSEo'/`DF' scalar `Sigo'=sqrt(`Sig2o') qui summ `Yh_ML' if `touse' local NUM=r(Var) qui summ `yvar' if `touse' local DEN=r(Var) scalar `r2v'=`NUM'/`DEN' scalar `r2v_a'=1-((1-`r2v')*(`N'-1)/`DF') scalar `fv'=`r2v'/(1-`r2v')*(`N'-`kb')/(`kx') scalar `fvp'=Ftail(`kx', `DF', `fv') qui correlate `Yh_ML' `yvar' if `touse' scalar `r2h'=r(rho)*r(rho) scalar `r2h_a'=1-((1-`r2h')*(`N'-1)/`DF') scalar `fh'=`r2h'/(1-`r2h')*(`N'-`kb')/(`kx') scalar `fhp'=Ftail(`kx', `DF', `fh') local Sig=`Sigo' qui summ `yvar' if `touse' local Yb=r(mean) qui gen `YYm'=(`yvar'-`Yb')^2 if `touse' qui summ `YYm' if `touse' qui scalar `SSTm' = r(sum) qui gen `YYv'=(`yvar')^2 if `touse' qui summ `YYv' if `touse' local SSTv = r(sum) qui summ `weit' if `touse' qui gen `Wi1'=sqrt(`weit'/r(mean)) if `touse' mkmat `Wi1' if `touse' , matrix(`Wi1') matrix `P' =diag(`Wi1') qui gen `Wio'=`Wi1' if `touse' mkmat `Wio' if `touse' , matrix(`Wio') matrix `Wio'=diag(`Wio') matrix `Pm' =`Wio' matrix `IPhi'=`P''*`P' matrix `Phi'=invsym(`P''*`P') matrix `J'= J(`N',1,1) matrix `D'=(`J'*`J''*`IPhi')/`N' matrix `SSE'=`Ue_ML''*`IPhi'*`Ue_ML' matrix `SST1'=(`Y'-`D'*`Y')'*`IPhi'*(`Y'-`D'*`Y') matrix `SST2'=(`Y''*`Y') scalar `SSE1'=`SSE'[1,1] scalar `SST11'=`SST1'[1,1] scalar `SST21'=`SST2'[1,1] scalar `r2bu'=1-`SSE1'/`SST11' if `r2bu'< 0 { scalar `r2bu'=`r2h' } scalar `r2bu_a'=1-((1-`r2bu')*(`N'-1)/`DF') scalar `r2raw'=1-`SSE1'/`SST21' scalar `r2raw_a'=1-((1-`r2raw')*(`N'-1)/`DF') scalar `f'=`r2bu'/(1-`r2bu')*(`N'-`kb')/`kx' scalar `fp'= Ftail(`kx', `DF', `f') scalar `wald'=`f'*`kx' scalar `waldp'=chi2tail(`kx', abs(`wald')) scalar `llf'=-(`N'/2)*log(2*_pi*`SSEo'/`N')-(`N'/2) local Nof =`N' local Dof =`DF' matrix `B'=`Beta'' if "`noconstant'"!="" { matrix colnames `Cov' = `xvar' matrix rownames `Cov' = `xvar' matrix colnames `B' = `xvar' } else { matrix colnames `Cov' = `xvar' _cons matrix rownames `Cov' = `xvar' _cons matrix colnames `B' = `xvar' _cons } yxregeq `yvar' `xvar' di as txt _col(2) "Sample Size" _col(21) "=" %12.0f as res `N' _col(37) "|" _col(41) as txt "Cross Sections Number" _col(65) "=" _col(73) %5.0f as res `NC' ereturn post `B' `Cov' , dep(`yvar') obs(`Nof') dof(`Dof') qui test `xvar' scalar `f'=r(F) scalar `fp'= Ftail(`kx', `DF', `f') scalar `wald'=`f'*`kx' scalar `waldp'=chi2tail(`kx', abs(`wald')) di as txt _col(2) "{cmd:Wald Test}" _col(21) "=" %12.4f as res `wald' _col(37) "|" _col(41) as txt "P-Value > {cmd:Chi2}(" as res `kx' ")" _col(65) "=" %12.4f as res `waldp' di as txt _col(2) "{cmd:F-Test}" _col(21) "=" %12.4f as res `f' _col(37) "|" _col(41) as txt "P-Value > {cmd:F}(" as res `kx' " , " `DF' ")" _col(65) "=" %12.4f as res `fp' di as txt _col(2) "R2 (R-Squared)" _col(21) "=" %12.4f as res `r2bu' _col(37) "|" as txt _col(41) "Raw Moments R2" _col(65) "=" %12.4f as res `r2raw' ereturn scalar r2bu =`r2bu' ereturn scalar r2bu_a=`r2bu_a' ereturn scalar f =`f' ereturn scalar fp=`fp' ereturn scalar wald =`wald' ereturn scalar waldp=`waldp' di as txt _col(2) "R2a (Adjusted R2)" _col(21) "=" %12.4f as res `r2bu_a' _col(37) "|" as txt _col(41) "Raw Moments R2 Adj" _col(65) "=" %12.4f as res `r2raw_a' di as txt _col(2) "Root MSE (Sigma)" _col(21) "=" %12.4f as res `Sigo' as txt _col(37) "|" _col(41) "Log Likelihood Function" _col(65) "=" %12.4f as res `llf' di _dup(78) "-" di as txt "- {cmd:R2h}=" %7.4f as res `r2h' _col(17) as txt "{cmd:R2h Adj}=" as res %7.4f `r2h_a' as txt _col(34) "{cmd:F-Test} =" %8.2f as res `fh' _col(51) as txt "P-Value > F(" as res `kx' " , " `DF' ")" _col(72) %5.4f as res `fhp' if `r2v'<1 { di as txt "- {cmd:R2v}=" %7.4f as res `r2v' _col(17) as txt "{cmd:R2v Adj}=" as res %7.4f `r2v_a' as txt _col(34) "{cmd:F-Test} =" %8.2f as res `fv' _col(51) as txt "P-Value > F(" as res `kx' " , " `DF' ")" _col(72) %5.4f as res `fvp' ereturn scalar r2v=`r2v' ereturn scalar r2v_a=`r2v_a' ereturn scalar fv=`fv' ereturn scalar fvp=`fvp' } ereturn scalar r2raw =`r2raw' ereturn scalar r2raw_a=`r2raw_a' ereturn scalar llf =`llf' ereturn scalar sig=`Sigo' ereturn scalar r2h =`r2h' ereturn scalar r2h_a=`r2h_a' ereturn scalar fh =`fh' ereturn scalar fhp=`fhp' ereturn scalar kb=`kb' ereturn scalar kx=`kx' ereturn scalar DF=`DF' ereturn scalar NC=`NC' ereturn scalar NT=`NT' ereturn display matrix `b'=e(b) matrix `V'=e(V) local llf=e(llf) local kb=e(kb) local kx=e(kx) local DF=e(DF) local NC=e(NC) local NT=e(NT) qui drop if `yvar'== . qui replace `Time'=_n if `touse' qui tsset `Time' local N=`N' tempvar Time E E2 LE qui gen `E' =`Ue_ML' if `touse' qui gen `E2'=`Ue_ML'^2 if `touse' di di _dup(78) "{bf:{err:=}}" di as txt "{bf:{err:*** Panel Data Heteroscedasticity Engle (ARCH) Test}}" di _dup(78) "{bf:{err:=}}" di as txt _col(2) "{bf: Ho: Panel Homoscedasticity - Ha: Panel Heteroscedasticity}" di tempname lmharch lmharchp qui gen `Time'=_n if `touse' qui tsset `Time' qui cap drop `LE' qui gen `LE'=L1.`E2' if `touse' qui regress `E2' `LE' if `touse' scalar `lmharch'=e(r2)*e(N) scalar `lmharchp'= chi2tail(1, abs(`lmharch')) di as txt "- Engle LM ARCH Test AR(1): E2 = E2_1" _col(41) "=" as res %9.4f `lmharch' _col(54) as txt "P-Value > Chi2(1)" _col(73) as res %5.4f `lmharchp' di _dup(78) "-" ereturn scalar lmharch=`lmharch' ereturn scalar lmharchp=`lmharchp' qui tsset `TimeN' end program define yxregeq version 10.0 syntax varlist tempvar `varlist' gettoken yvar xvar : varlist local LEN=length("`yvar'") local LEN=`LEN'+3 di "{p 2 `LEN' 5}" as res "{bf:`yvar'}" as txt " = " " local NX : word count `xvar' local i=1 while `i'<=`NX' { local X : word `i' of `xvar' if `i'<`NX' { di " " as res " {bf:`X'}" _c di as txt " + " _c } if `i'==`NX' { di " " as res "{bf:`X'}" } local i=`i'+1 } di "{p_end}" di as txt "{hline 78}" end