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+-------+ ----+ Title +------------------------------------------------------------

lmhlmxt: Breusch-Pagan Lagrange Multiplier Panel Heteroscedasticity Test

+-------------------+ ----+ Table of Contents +------------------------------------------------

Syntax Options Description Saved Results References

*** Examples

Author

+--------+ ----+ Syntax +-----------------------------------------------------------

lmhlmxt depvar indepvars [if] [in] [weight] , id(#) [ noconstant vce(vcetype) ]

+---------+ ----+ Options +----------------------------------------------------------

* id(#) Number of Cross Sections in the Model

noconstant Exclude Constant Term from Equation

vce(vcetype) ols, robust, cluster, bootstrap, jackknife, hc2, hc3

+-------------+ ----+ Description +------------------------------------------------------

lmhlmxt computes Breusch-Pagan Lagrange Multiplier Panel Heteroscedasticity Test.

* Ho: Panel Homoscedasticity - Ha: Panel Heteroscedasticity

+---------------+ ----+ Saved Results +----------------------------------------------------

lmhlmxt saves the following in r():

r(lmh) Lagrange Multiplier LM Test r(lmhp) Lagrange Multiplier LM Test P-Value r(lmhdf) Chi2 Degrees of Freedom

+------------+ ----+ References +-------------------------------------------------------

Breusch, Trevor & Adrian Pagan (1980) "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics", Review of Economic Studies 47; 239-253.

Greene, William (2003) "Econometric Analysis", 5th ed., Macmillan Publishing Company Inc., New York, USA.; 328-330.

+----------+ ----+ Examples +---------------------------------------------------------

clear all

sysuse lmhlmxt.dta, clear

db lmhlmxt

lmhlmxt i f c , id(5)

============================================================================== * Breusch-Pagan Lagrange Multiplier Panel Heteroscedasticity Test ============================================================================== Ho: Panel Homoscedasticity - Ha: Panel Heteroscedasticity

Lagrange Multiplier LM Test = 46.62979 Degrees of Freedom = 4.0 P-Value > Chi2(4) = 0.00000 ==============================================================================

+--------+ ----+ 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

+------------------+ ----+ lmhlmxt Citation +-------------------------------------------------

Shehata, Emad Abd Elmessih (2012) LMHLMXT: "Stata Module to Compute Breusch-Pagan Lagrange Multiplier Panel Heteroscedasticity Test"

Online Help:

lmhlmxt, lmhlrxt. (if installed).