help: lmhlmxt dialog:

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 - 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

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).