help: lmhmss2 dialog:

Title

lmhmss2: 2SLS-IV Heteroscedasticity Machado-Santos-Silva Test

Table of Contents

Syntax

Description

Model

GMM Options

Other Options

Saved Results

References

*** Examples

Authors

Syntax

lmhmss2 depvar indepvars (endog = inst) [if] [in] ,

model(2sls, liml, gmm, melo, fuller, kclass)

[ kc(#) kf(#) hetcov(type) noconstant noconexog ]

Description

lmhmss2 computes 2SLS-IV Heteroscedasticity Machado-Santos-Silva Test for instrumental variables regression models, via 2sls, liml, melo, gmm, and kclass.

Ho: Homoscedasticity - Ha: Heteroscedasticity
- Machado-Santos-Silva Test: Ev=Yh Yh2
- Machado-Santos-Silva Test: Ev=X

Model

model description

2sls Two-Stage Least Squares (2SLS)

liml Limited-Information Maximum Likelihood (LIML)

melo Minimum Expected Loss (MELO)

fuller Fuller k-Class LIML

kclass Theil K-Class LIML

gmm Generalized Method of Moments (GMM)

GMM Options

hetcov Options Description

hetcov(white) White Method

hetcov(bart) Bartlett Method

hetcov(dan) Daniell Method

hetcov(nwest) Newey-West Method

hetcov(parzen) Parzen Method

hetcov(quad) Quadratic spectral Method

hetcov(tent) Tent Method

hetcov(trunc) Truncated Method

hetcov(tukeym) Tukey-Hamming Method

hetcov(tukeyn) Tukey-Hanning Method

Other Options

kf(#) Fuller k-Class LIML Value

kc(#) Theil k-Class LIML Value

noconstant Exclude Constant Term from RHS Equation only

noconexog Exclude Constant Term from all Equations (both RHS and Instrumental Equations). Results of using noconexog option are identical to Stata ivregress.
The default of lmhmss2 is including Constant Term in both RHS and Instrumental Equations

Saved Results

lmhmss2 saves the following in e():

*** Heteroscedasticity Tests:
e(lmhmss1) Machado-Santos-Silva Test: Ev=Yh Yh2 LM Test
e(lmhmss1p) Machado-Santos-Silva Test: Ev=Yh Yh2 LM Test P-Value
e(lmhmss2) Machado-Santos-Silva Test: Ev=X LM Test
e(lmhmss2p) Machado-Santos-Silva Test: Ev=X LM Test P-Value

References

Machado, J.A.F. and Santos Silva, J.M.C. (2000)
"Glejser's Test Revisited",
Journal of Econometrics, 97(1); 189-202.

Examples

clear all

sysuse lmhmss2.dta , clear

db lmhmss2

lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(melo)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(liml)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(fuller) kf(0.5)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(kclass) kc(0.5)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(white)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(bart)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(dan)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(nwest)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(parzen)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(quad)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tent)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(trunc)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeym)
lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeyn)

. clear all
. sysuse lmhmss2.dta , clear
. lmhmss2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls)

==============================================================================
* Two Stage Least Squares (2SLS)
==============================================================================
y1 = y2 + x1 + x2
------------------------------------------------------------------------------
Sample Size = 17
Wald Test = 233.0853 | P-Value > Chi2(3) = 0.0000
F-Test = 77.6951 | P-Value > F(3 , 13) = 0.0000
(Buse 1973) R2 = 0.9467 | Raw Moments R2 = 0.9985
(Buse 1973) R2 Adj = 0.9344 | Raw Moments R2 Adj = 0.9982
Root MSE (Sigma) = 6.0383 | Log Likelihood Function = -52.4099
------------------------------------------------------------------------------
- R2h= 0.9468 R2h Adj= 0.9345 F-Test = 77.05 P-Value > F(3 , 13) 0.0000
- R2v= 0.9598 R2v Adj= 0.9506 F-Test = 103.52 P-Value > F(3 , 13) 0.0000
------------------------------------------------------------------------------
y1 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y2 | -.1454956 .143086 -1.02 0.328 -.4546141 .163623
x1 | 1.202563 .3208808 3.75 0.002 .5093422 1.895784
x2 | -1.580143 .2141722 -7.38 0.000 -2.042834 -1.117452
_cons | 152.6071 36.451 4.19 0.001 73.85946 231.3547
------------------------------------------------------------------------------
* Y = LHS Dependent Variable: 1 = y1
* Yi = RHS Endogenous Variables: 1 = y2
* Xi = RHS Included Exogenous Vars: 2 = x1 x2
* Xj = RHS Excluded Exogenous Vars: 2 = x3 x4
* Z = Overall Instrumental Vars: 4 = x1 x2 x3 x4
==============================================================================
* 2SLS-IV Heteroscedasticity Machado-Santos-Silva Test - Model= (2sls)
==============================================================================
Ho: Homoscedasticity - Ha: Heteroscedasticity
------------------------------------------------------------------------------
- Machado-Santos-Silva Test: Ev=Yh Yh2 = 0.7335 P-Value > Chi2() 0.6930
- Machado-Santos-Silva Test: Ev=X = 3.7662 P-Value > Chi2(3) 0.2878
------------------------------------------------------------------------------

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

LMHMSS2 Citation

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

LMHMSS2: "Stata Module to Compute 2SLS-IV Heteroscedasticity Machado-Santos-Silva 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
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* (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
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* (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
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* (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
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* (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
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* (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
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* (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
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* (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
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* (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
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