+-------+ ----+ Title +------------------------------------------------------------
lmhgl: OLS Glejser Lagrange Multiplier Heteroscedasticity Test
+--------+ ----+ Syntax +-----------------------------------------------------------
lmhgl depvar indepvars [if] [in] [weight] , [ noconstant vce( vcetype) ]
+---------+ ----+ Options +----------------------------------------------------------
noconstant suppress constant term
SE/Robust vce(vcetype) vcetype may be ols, robust, cluster clustvar, bootstrap, jackknife, hc2, or hc3
+-------------+ ----+ Description +------------------------------------------------------
lmhgl computes Glejser Lagrange Multiplier Heteroscedasticity Test for OLS residuals after regress command.
+---------------+ ----+ Saved Results +----------------------------------------------------
lmhgl saves the following in r():
r(lmh) Glejser IM Test r(lmhp) Glejser IM Test P-Value r(lmhdf) Chi2 Degrees of Freedom
+------------+ ----+ References +-------------------------------------------------------
Damodar Gujarati (1995) "Basic Econometrics" 3rd Edition, McGraw Hill, New York, USA.
+----------+ ----+ Examples +---------------------------------------------------------
clear all
sysuse lmhgl.dta, clear
db lmhgl
lmhgl y x1 x2
return list -------------------------------------------------------------------------------
. clear all . sysuse lmhgl.dta , clear . lmhgl y1 x1 x2
Source | SS df MS Number of obs = 17 -------------+------------------------------ F( 2, 14) = 136.68 Model | 8460.93712 2 4230.46856 Prob > F = 0.0000 Residual | 433.313039 14 30.9509313 R-squared = 0.9513 -------------+------------------------------ Adj R-squared = 0.9443 Total | 8894.25016 16 555.890635 Root MSE = 5.5634
------------------------------------------------------------------------------ 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 Glejser Lagrange Multiplier Heteroscedasticity Test ============================================================================== Ho: No Heteroscedasticity - Ha: Heteroscedasticity
Glejser LM Test = 3.46075 Degrees of Freedom = 2.0 P-Value > Chi2(2) = 0.17722
+--------+ ----+ Author +-----------------------------------------------------------
Emad Abd Elmessih Shehata Assistant Professor 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
+----------------+ ----+ lmhgl Citation +---------------------------------------------------
Shehata, Emad Abd Elmessih (2012) LMHGL: "Stata Module to Compute Glejser Lagrange Multiplier OLS Heteroscedasticity Test"
Online Help:
lmhharv, lmhwald, lmhgl (if installed).