{smcl} {hline} {cmd:help: {helpb lmhreg3}}{space 55} {cmd:dialog:} {bf:{dialog lmhreg3}} {hline} {bf:{err:{dlgtab:Title}}} {bf: lmhreg3: Overall System Heteroscedasticity Tests after (3SLS-SURE) Regressions} {bf:{err:{dlgtab:Syntax}}} {cmd: lmhreg3} {bf:{err:{dlgtab:Description}}} {p 2 2 2}lmhreg3 computes overall system Heteroscedasticity tests, after:{p_end} {p 2 2 2}- (3SLS) Three-Stage Least Squares {helpb reg3} for systems of simultaneous equations.{p_end} {p 2 2 2}- (SURE) Seemingly Unrelated Regression Estimation {helpb sureg} for sets of equations.{p_end} {p 2 2 2}lmhreg3 calculates single Equation Heteroscedasticity:{p_end} {p 4 2 2}- Engle LM ARCH Test.{p_end} {p 4 2 2}- Hall-Pagan LM Test: E2 = Yh.{p_end} {p 4 2 2}- Hall-Pagan LM Test: E2 = Yh2.{p_end} {p 4 2 2}- Hall-Pagan LM Test: E2 = LYh2.{p_end} {p 2 2 2}lmhreg3 calculates overall system Heteroscedasticity:{p_end} {p 4 2 2}- Breusch-Pagan LM Test.{p_end} {p 4 2 2}- Likelihood Ratio LR Test.{p_end} {p 4 2 2}- Wald Test.{p_end} {bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:lmhreg3} saves the following in {cmd:r()}: {synoptset 12 tabbed}{...} {p2col 5 12 12 2: Scalars}{p_end} {synopt:{cmd:r(lmhlm)}}Breusch-Pagan LM Test{p_end} {synopt:{cmd:r(lmhlmp)}}Breusch-Pagan LM Test P-Value{p_end} {synopt:{cmd:r(lmhlr)}}Likelihood Ratio LR Test{p_end} {synopt:{cmd:r(lmhlrp)}}Likelihood Ratio LR Test P-Value{p_end} {synopt:{cmd:r(lmhw)}}Wald Test{p_end} {synopt:{cmd:r(lmhwp)}}Wald Test P-Value{p_end} {col 4}{cmd:e(mharch_#)}{col 20}Engle LM ARCH Test for eq.i {col 4}{cmd:e(mharchp_#)}{col 20}Engle LM ARCH Test for eq.# P-Value {col 4}{cmd:e(lmhhp1_#)}{col 20}Hall-Pagan LM Test E2 = Yh for eq.# {col 4}{cmd:e(lmhhp1p_#)}{col 20}Hall-Pagan LM Test E2 = Yh for eq.# P-Value {col 4}{cmd:e(lmhhp2_#)}{col 20}Hall-Pagan LM Test E2 = Yh2 for eq.# {col 4}{cmd:e(lmhhp2p_#)}{col 20}Hall-Pagan LM Test E2 = Yh2 for eq.# P-Value {col 4}{cmd:e(lmhhp3_#)}{col 20}Hall-Pagan LM Test E2 = Yh3 for eq.# {col 4}{cmd:e(lmhhp3p_#)}{col 20}Hall-Pagan LM Test E2 = Yh3 for eq.# P-Value {bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse lmhreg3.dta , clear} * (1) SUR Model: {stata sureg (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4)} {stata lmhreg3} {stata return list} * (2) 3SLS Model: {stata reg3 (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4)} {stata lmhreg3} {stata return list} * If you want to use dialog box: Press OK to compute lmhreg3 {stata 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 ------------------------------------------------------------------------------ {bf:{err:{dlgtab:References}}} {p 4 8 2}Greene, William (1993) {cmd: "Econometric Analysis",} {it:2nd ed., Macmillan Publishing Company Inc., New York, USA.}; 492-493. {p 4 8 2}Greene, William (2007) {cmd: "Econometric Analysis",} {it:6th ed., Macmillan Publishing Company Inc., New York, USA.}; 534-536. {p 4 8 2}Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985) {cmd: "The Theory and Practice of Econometrics",} {it:2nd ed., John Wiley & Sons, Inc., New York, USA}; 494. {bf:{err:{dlgtab:Author}}} {hi:Emad Abd Elmessih Shehata} {hi:Assistant Professor} {hi:Agricultural Research Center - Agricultural Economics Research Institute - Egypt} {hi:Email: {browse "mailto:emadstat@hotmail.com":emadstat@hotmail.com}} {hi:WebPage:{col 27}{browse "http://emadstat.110mb.com/stata.htm"}} {hi:WebPage at IDEAS:{col 27}{browse "http://ideas.repec.org/f/psh494.html"}} {hi:WebPage at EconPapers:{col 27}{browse "http://econpapers.repec.org/RAS/psh494.htm"}} {bf:{err:{dlgtab:lmhreg3 Citation}}} {phang}Shehata, Emad Abd Elmessih (2011){p_end} {phang}{cmd: "LMHREG3: Stata Module to Compute Overall System Heteroscedasticity Tests after (3SLS-SURE) Regressions"}{p_end} {title:Online Help:} {p 4 12 2} {helpb lmhreg} {helpb lmhreg} {helpb lmhreg2} {helpb lmhreg3} {opt (if installed)}.{p_end} {psee} {p_end}