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help: lmhreg3                                                        dialog: lm
> hreg3
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+-------+ ----+ Title +------------------------------------------------------------

lmhreg3: Overall System Heteroscedasticity Tests after (3SLS-SURE) Regressions

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

lmhreg3

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

lmhreg3 computes overall system Heteroscedasticity tests, after: - (3SLS) Three-Stage Least Squares reg3 for systems of simultaneous equations. - (SURE) Seemingly Unrelated Regression Estimation sureg for sets of equations.

lmhreg3 calculates single Equation Heteroscedasticity: - Engle LM ARCH Test. - Hall-Pagan LM Test: E2 = Yh. - Hall-Pagan LM Test: E2 = Yh2. - Hall-Pagan LM Test: E2 = LYh2.

lmhreg3 calculates overall system Heteroscedasticity: - Breusch-Pagan LM Test. - Likelihood Ratio LR Test. - Wald Test.

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

lmhreg3 saves the following in r():

Scalars

r(lmhlm) Breusch-Pagan LM Test r(lmhlmp) Breusch-Pagan LM Test P-Value r(lmhlr) Likelihood Ratio LR Test r(lmhlrp) Likelihood Ratio LR Test P-Value r(lmhw) Wald Test r(lmhwp) Wald Test P-Value

e(mharch_#) Engle LM ARCH Test for eq.i e(mharchp_#) Engle LM ARCH Test for eq.# P-Value e(lmhhp1_#) Hall-Pagan LM Test E2 = Yh for eq.# e(lmhhp1p_#) Hall-Pagan LM Test E2 = Yh for eq.# P-Value e(lmhhp2_#) Hall-Pagan LM Test E2 = Yh2 for eq.# e(lmhhp2p_#) Hall-Pagan LM Test E2 = Yh2 for eq.# P-Value e(lmhhp3_#) Hall-Pagan LM Test E2 = Yh3 for eq.# e(lmhhp3p_#) Hall-Pagan LM Test E2 = Yh3 for eq.# P-Value

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

clear all

sysuse lmhreg3.dta , clear

* (1) SUR Model:

sureg (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4)

lmhreg3

return list

* (2) 3SLS Model:

reg3 (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4)

lmhreg3

return list

* If you want to use dialog box: Press OK to compute lmhreg3

db lmhreg3

. clear all . sysuse lmhreg3.dta , clear . reg3 (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4) . lmhreg3

================================================= * System Heteroscedasticity Tests (3sls) ================================================= *** Single Equation Heteroscedasticity Tests: Ho: Homoscedasticity - Ha: Heteroscedasticity

Eq. y1 : Engle LM ARCH Test: E2 = E2_1 = 6.3690 P-Value > Chi2(1) 0.0116 Eq. y1 : Hall-Pagan LM Test: E2 = Yh = 0.9303 P-Value > Chi2(1) 0.3348 Eq. y1 : Hall-Pagan LM Test: E2 = Yh2 = 0.8921 P-Value > Chi2(1) 0.3449 Eq. y1 : Hall-Pagan LM Test: E2 = LYh2 = 0.7534 P-Value > Chi2(1) 0.3854 ------------------------------------------------------------------------------ Eq. y2 : Engle LM ARCH Test: E2 = E2_1 = 0.3761 P-Value > Chi2(1) 0.5397 Eq. y2 : Hall-Pagan LM Test: E2 = Yh = 0.4260 P-Value > Chi2(1) 0.5139 Eq. y2 : Hall-Pagan LM Test: E2 = Yh2 = 0.1462 P-Value > Chi2(1) 0.7022 Eq. y2 : Hall-Pagan LM Test: E2 = LYh2 = 0.7281 P-Value > Chi2(1) 0.3935 ------------------------------------------------------------------------------ Eq. y3 : Engle LM ARCH Test: E2 = E2_1 = 0.9578 P-Value > Chi2(1) 0.3277 Eq. y3 : Hall-Pagan LM Test: E2 = Yh = 0.3958 P-Value > Chi2(1) 0.5293 Eq. y3 : Hall-Pagan LM Test: E2 = Yh2 = 0.9242 P-Value > Chi2(1) 0.3364 Eq. y3 : Hall-Pagan LM Test: E2 = LYh2 = 0.0165 P-Value > Chi2(1) 0.8979 ------------------------------------------------------------------------------ Eq. y4 : Engle LM ARCH Test: E2 = E2_1 = 0.0143 P-Value > Chi2(1) 0.9047 Eq. y4 : Hall-Pagan LM Test: E2 = Yh = 2.0117 P-Value > Chi2(1) 0.1561 Eq. y4 : Hall-Pagan LM Test: E2 = Yh2 = 2.0956 P-Value > Chi2(1) 0.1477 Eq. y4 : Hall-Pagan LM Test: E2 = LYh2 = 1.8364 P-Value > Chi2(1) 0.1754 ------------------------------------------------------------------------------ *** Overall System Heteroscedasticity Tests: Ho: No Overall System Heteroscedasticity

- Breusch-Pagan LM Test = 10.7443 P-Value > Chi2(6) 0.0966 - Likelihood Ratio LR Test = 14.0682 P-Value > Chi2(6) 0.0289 - Wald Test = 19.9272 P-Value > Chi2(6) 0.0029 ------------------------------------------------------------------------------

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

Greene, William (1993) "Econometric Analysis", 2nd ed., Macmillan Publishing Company Inc., New York, USA.; 492-493.

Greene, William (2007) "Econometric Analysis", 6th ed., Macmillan Publishing Company Inc., New York, USA.; 534-536.

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; 494.

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

+------------------+ ----+ lmhreg3 Citation +-------------------------------------------------

Shehata, Emad Abd Elmessih (2011) "LMHREG3: Stata Module to Compute Overall System Heteroscedasticity Tests after (3SLS-SURE) Regressions"

Online Help:

lmhreg lmhreg lmhreg2 lmhreg3 (if installed).