help: lmhhpnl dialog:

Title

lmhhpnl: NLS Heteroscedasticity Hall-Pagan Test

Table of Contents

Syntax

Options

Description

Saved Results

References

*** Examples

Authors

Syntax

lmhhpnl depvar [if] [in] [weight] , fun(expression)

[ initial(init_val) variables(varlist) vce(vcetype ]

Options

depvar Dependent Variable

variables(varlist) Independent Variables in model

initial(init_val) Parameters (initial) Starting Values

fun(expression) RHS Mathematical Expression

SE/Robust
vce(vcetype) vcetype
may be gnr, robust, cluster clustvar,
bootstrap, jackknife, hac kernel, hc2, or
hc3

Description

lmhhpnl computes Non Linear Least Squares Heteroscedasticity Hall-Pagan Test.

Ho: Homoscedasticity - Ha: Heteroscedasticity
- Hall-Pagan LM Test: E2 = Yh
- Hall-Pagan LM Test: E2 = Yh2
- Hall-Pagan LM Test: E2 = LYh2

Saved Results

lmhhpnl saves the following in e():

e(lmhhpnl1) Hall-Pagan LM Test
e(lmhhpnl1p) Hall-Pagan LM Test P-Value
e(lmhhpnl2) Hall-Pagan LM Test
e(lmhhpnl2p) Hall-Pagan LM Test P-Value
e(lmhhpnl3) Hall-Pagan LM Test
e(lmhhpnl3p) Hall-Pagan LM Test P-Value

References

Damodar Gujarati (1995)
"Basic Econometrics"
3rd Edition, McGraw Hill, New York, USA.

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.

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.

Pagan, Adrian .R. & Hall, D. (1983)
"Diagnostic Tests as Residual Analysis",
Econometric Reviews, Vol.2, No.2,. 159-218.

William E. Griffiths, R. Carter Hill and George G. Judge (1993)
"Learning and Practicing Econometrics",
John Wiley & Sons, Inc., New York, USA; 721-725.

Examples

clear all

sysuse lmhhpnl.dta , clear

gen ly=ln(y)

lmhhpnl ly , fun({B0}+{B1}*k+{B2}*l)

lmhhpnl ly, fun({B}-({H}/{R})*ln({D}*l^(-{R})+(1-{D})*k^(-{R}))) in(B 1 H 1 R 1 D 0.5)

. clear all
. sysuse lmhhpnl.dta , clear
. gen ly=ln(y)
. lmhhpnl ly, fun({B}-({H}/{R})*ln({D}*l^(-{R})+(1-{D})*k^(-{R}))) in(B 1 H 1 R 1 D 0.5)

Source | SS df MS
-------------+------------------------------ Number of obs = 30
Model | 59.529144 3 19.843048 R-squared = 0.9713
Residual | 1.7610762 26 .0677337 Adj R-squared = 0.9680
-------------+------------------------------ Root MSE = .260257
Total | 61.2902202 29 2.11345587 Res. dev. = .0781436

------------------------------------------------------------------------------
ly | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
/B | .1244908 .0783444 1.59 0.124 -.0365483 .28553
/H | 1.012594 .0506832 19.98 0.000 .9084134 1.116775
/R | 3.010934 2.323389 1.30 0.206 -1.764861 7.786728
/D | .3366735 .1361129 2.47 0.020 .0568895 .6164575
------------------------------------------------------------------------------
Parameter B taken as constant term in model & ANOVA table

==============================================================================
*** NLS Heteroscedasticity Hall-Pagan Test
==============================================================================
Ho: Homoscedasticity - Ha: Heteroscedasticity
------------------------------------------------------------------------------
- Hall-Pagan LM Test: E2 = Yh = 0.8561 P-Value > Chi2(1) 0.3548
- Hall-Pagan LM Test: E2 = Yh2 = 0.6747 P-Value > Chi2(1) 0.4114
- Hall-Pagan LM Test: E2 = LYh2 = 0.4489 P-Value > Chi2(1) 0.5028
------------------------------------------------------------------------------

Authors

- Emad Abd Elmessih Shehata
Professor (PhD Economics)
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
Email: emadstat@hotmail.com
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 at IDEAS: http://ideas.repec.org/f/pmi520.html
WebPage at EconPapers: http://econpapers.repec.org/RAS/pmi520.htm

LMHHPNL Citation

Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2014)

LMHHPNL: "Stata Module to Compute NLS Heteroscedasticity Hall-Pagan Test"

Online Help:

* Heteroscedasticity Tests:

* (1) (OLS) * Ordinary Least Squares Tests:
lmhreg OLS Heteroscedasticity Tests
lmharch OLS Heteroscedasticity Engle (ARCH) Test
lmhcw OLS Heteroscedasticity Cook-Weisberg Test
lmhgl OLS Heteroscedasticity Glejser Test
lmhharv OLS Heteroscedasticity Harvey Test
lmhhp OLS Heteroscedasticity Hall-Pagan Test
lmhmss OLS Heteroscedasticity Machado-Santos-Silva Test
lmhwald OLS Heteroscedasticity Wald Test
lmhwhite OLS Heteroscedasticity White Test
---------------------------------------------------------------------------
* (2) (NLS) * Non Linear Least Squares Tests:
lmhnls Non Linear Least Squares Heteroscedasticity Tests
lmharchnl NLS Heteroscedasticity Engle (ARCH) Test
lmhcwnl NLS Heteroscedasticity Cook-Weisberg Test
lmhglnl NLS Heteroscedasticity Glejser Test
lmhharvnl NLS Heteroscedasticity Harvey Test
lmhhpnl NLS Heteroscedasticity Hall-Pagan Test
lmhmssnl NLS Heteroscedasticity Machado-Santos-Silva Test
lmhwaldnl NLS Heteroscedasticity Wald Test
lmhwhitenl NLS Heteroscedasticity White Test
---------------------------------------------------------------------------
* (3) (MLE) * Maximum Likelihood Estimation Tests:
lmhmle MLE Heteroscedasticity Tests
lmharchml MLE Heteroscedasticity Engle (ARCH) Test
lmhcwml MLE Heteroscedasticity Cook-Weisberg Test
lmhglml MLE Heteroscedasticity Glejser Test
lmhharvml MLE Heteroscedasticity Harvey Test
lmhhpml MLE Heteroscedasticity Hall-Pagan Test
lmhmssml MLE Heteroscedasticity Machado-Santos-Silva Test
lmhwaldml MLE Heteroscedasticity Wald Test
lmhwhiteml MLE Heteroscedasticity White Test
---------------------------------------------------------------------------
* (4) (2SLS-IV) * Two-Stage Least Squares & Instrumental Variables Tests:
lmhreg2 2SLS-IV Heteroscedasticity Tests
lmharch2 2SLS-IV Heteroscedasticity Engle (ARCH) Test
lmhcw2 2SLS-IV Heteroscedasticity Cook-Weisberg Test
lmhgl2 2SLS-IV Heteroscedasticity Glejser Test
lmhharv2 2SLS-IV Heteroscedasticity Harvey Test
lmhhp2 2SLS-IV Heteroscedasticity Hall-Pagan Test
lmhmss2 2SLS-IV Heteroscedasticity Machado-Santos-Silva Test
lmhwald2 2SLS-IV Heteroscedasticity Wald Test
lmhwhite2 2SLS-IV Heteroscedasticity White Test
---------------------------------------------------------------------------
* (5) Panel Data Tests:
lmhxt Panel Data Heteroscedasticity Tests
lmhgwxt Panel Data Groupwise Heteroscedasticity Tests
ghxt Panel Groupwise Heteroscedasticity Tests
lmhlmxt Panel Data Groupwise Heteroscedasticity Breusch-Pagan LM Test
lmhlrxt Panel Data Groupwise Heteroscedasticity Greene LR Test
lmharchxt Panel Data Heteroscedasticity Engle (ARCH) Test
lmhcwxt Panel Data Heteroscedasticity Cook-Weisberg Test
lmhglxt Panel Data Heteroscedasticity Glejser Test
lmhharvxt Panel Data Heteroscedasticity Harvey Test
lmhhpxt Panel Data Heteroscedasticity Hall-Pagan Test
lmhmssxt Panel Data Heteroscedasticity Machado-Santos-Silva Test
lmhwaldxt Panel Data Heteroscedasticity Wald Test
lmhwhitext Panel Data Heteroscedasticity White Test
---------------------------------------------------------------------------
* (6) (3SLS-SUR) * Simultaneous Equations Tests:
lmareg3 (3SLS-SUR) Overall System Autocorrelation Tests
lmhreg3 (3SLS-SUR) Overall System Heteroscedasticity Tests
lmnreg3 (3SLS-SUR) Overall System Non Normality Tests
lmcovreg3 (3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix
r2reg3 (3SLS-SUR) Overall System R2, F-Test, and Chi2-Test
diagreg3 (3SLS-SUR) Overall System ModeL Selection Diagnostic Criteria
---------------------------------------------------------------------------
* (7) (SEM-FIML) * Structural Equation Modeling Tests:
lmasem (SEM-FIML) Overall System Autocorrelation Tests
lmhsem (SEM-FIML) Overall System Heteroscedasticity Tests
lmnsem (SEM-FIML) Overall System Non Normality Tests
lmcovsem (SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test
r2sem (SEM-FIML) Overall System R2, F-Test, and Chi2-Test
diagsem (SEM-FIML) Overall System ModeL Selection Diagnostic Criteria
---------------------------------------------------------------------------
* (8) (NL-SUR) * Non Linear Seemingly Unrelated Regression Tests:
lmanlsur (NL-SUR) Overall System Autocorrelation Tests
lmhnlsur (NL-SUR) Overall System Heteroscedasticity Tests
lmnnlsur (NL-SUR) Overall System Non Normality Tests
lmcovnlsur (NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test
r2nlsur (NL-SUR) Overall System R2, F-Test, and Chi2-Test
diagnlsur (NL-SUR) Overall System ModeL Selection Diagnostic Criteria
---------------------------------------------------------------------------
* (9) (VAR) * Vector Autoregressive Model Tests:
lmavar (VAR) Overall System Autocorrelation Tests
lmhvar (VAR) Overall System Heteroscedasticity Tests
lmnvar (VAR) Overall System Non Normality Tests
lmcovvar (VAR) Breusch-Pagan Diagonal Covariance Matrix Test
r2var (VAR) Overall System R2, F-Test, and Chi2-Test
diagvar (VAR) Overall System ModeL Selection Diagnostic Criteria
---------------------------------------------------------------------------