+-------+ ----+ Title +------------------------------------------------------------
lmhsem: Overall System Heteroscedasticity Tests after (SEM) Regressions
+--------+ ----+ Syntax +-----------------------------------------------------------
lmhsem
+-------------+ ----+ Description +------------------------------------------------------
lmhsem computes overall system Heteroscedasticity tests, after: - (SEM) Structural Equation Modeling Regressions sem for system of simultaneous equations.
lmhsem 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.
lmhsem calculates overall system Heteroscedasticity: - Breusch-Pagan LM Test. - Likelihood Ratio LR Test.
+---------------+ ----+ Saved Results +----------------------------------------------------
lmhsem 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
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 +---------------------------------------------------------
in this example FIML will be used as follows:
clear all
sysuse lmhsem.dta , clear
sem (y1 <- y2 x1 x2) (y2 <- y1 x3 x4), cov(e.y1*e.y2)
lmhsem
return list
* If you want to use dialog box: Press OK to compute lmhsem
db lmhsem
. clear all . sysuse lmhsem.dta , clear . sem (y1 <- y2 x1 x2) (y2 <- y1 x3 x4), cov(e.y1*e.y2)
Structural equation model Number of obs = 17 Estimation method = ml Log likelihood = -363.34588 ------------------------------------------------------------------------------ | OIM | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- Structural | y1 <- | y2 | .2425937 .2106232 1.15 0.249 -.1702201 .6554075 x1 | .2568409 .462485 0.56 0.579 -.649613 1.163295 x2 | -1.037016 .3154059 -3.29 0.001 -1.6552 -.4188317 _cons | 147.0826 54.4491 2.70 0.007 40.36431 253.8009 -----------+---------------------------------------------------------------- y2 <- | y1 | -.6282929 .6148239 -1.02 0.307 -1.833326 .5767398 x3 | -.5226661 .3235637 -1.62 0.106 -1.156839 .1115071 x4 | 3.4208 1.440664 2.37 0.018 .5971513 6.244449 _cons | 62.44495 42.36071 1.47 0.140 -20.58052 145.4704 -------------+---------------------------------------------------------------- Variance | e.y1 | 80.17577 28.99122 39.46865 162.8673 e.y2 | 142.4478 80.80501 46.86006 433.0208 -------------+---------------------------------------------------------------- Covariance | e.y1 | e.y2 | 25.62619 53.75243 0.48 0.634 -79.72665 130.979 ------------------------------------------------------------------------------ LR test of model vs. saturated: chi2(2) = 0.12, Prob > chi2 = 0.9408
. lmhsem
================================================= * System Heteroscedasticity Tests (ml) ================================================= *** Single Equation Heteroscedasticity Tests: Ho: Homoscedasticity - Ha: Heteroscedasticity
Eq. 1 : Engle LM ARCH Test: E2 = E2_1 = 0.0319 P-Value > Chi2(1) 0.8582 Eq. 1 : Hall-Pagan LM Test: E2 = Yh = 3.2488 P-Value > Chi2(1) 0.0715 Eq. 1 : Hall-Pagan LM Test: E2 = Yh2 = 3.5925 P-Value > Chi2(1) 0.0580 Eq. 1 : Hall-Pagan LM Test: E2 = LYh2 = 2.9051 P-Value > Chi2(1) 0.0883 ------------------------------------------------------------------------------ Eq. 2 : Engle LM ARCH Test: E2 = E2_1 = 0.6860 P-Value > Chi2(1) 0.4075 Eq. 2 : Hall-Pagan LM Test: E2 = Yh = 1.0007 P-Value > Chi2(1) 0.3171 Eq. 2 : Hall-Pagan LM Test: E2 = Yh2 = 0.8447 P-Value > Chi2(1) 0.3581 Eq. 2 : Hall-Pagan LM Test: E2 = LYh2 = 1.1165 P-Value > Chi2(1) 0.2907 ------------------------------------------------------------------------------ *** Overall System Heteroscedasticity Tests: Ho: No Overall System Heteroscedasticity
- Breusch-Pagan LM Test = 0.9775 P-Value > Chi2(1) 0.3228 - Likelihood Ratio LR Test = 1.0067 P-Value > Chi2(1) 0.3157 ------------------------------------------------------------------------------
+------------+ ----+ 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
+-----------------+ ----+ lmhsem Citation +--------------------------------------------------
Shehata, Emad Abd Elmessih (2012) LMHSEM: "Stata Module to Compute Overall System Heteroscedasticity Tests after Structural Equation Modeling (SEM) Regressions"
Online Help:
lmasem, lmhsem, lmnsem, lmcovsem, r2sem, lmareg3, lmhreg3, lmnreg3, lmcovreg3, r2reg3. (if installed).