{smcl} {hline} {cmd:help: {helpb lmnadnl}}{space 50} {cmd:dialog:} {bf:{dialog lmnadnl}} {hline} {bf:{err:{dlgtab:Title}}} {bf:lmnadnl: NLS Non Normality Anderson-Darling Test} {marker 00}{bf:{err:{dlgtab:Table of Contents}}} {p 4 8 2} {p 5}{helpb lmnadnl##01:Syntax}{p_end} {p 5}{helpb lmnadnl##02:Options}{p_end} {p 5}{helpb lmnadnl##03:Description}{p_end} {p 5}{helpb lmnadnl##04:Saved Results}{p_end} {p 5}{helpb lmnadnl##05:References}{p_end} {p 1}*** {helpb lmnadnl##06:Examples}{p_end} {p 5}{helpb lmnadnl##07:Authors}{p_end} {marker 01}{bf:{err:{dlgtab:Syntax}}} {p 3 5 6} {cmd:lmnadnl} {depvar} {ifin} {weight} , {opt fun(expression)}{p_end} {p 5 5 6} {err: [} {opt in:itial(init_val)} {opth var:iables(varlist)} {cmd:vce(}{it:{help nl##vcetype:vcetype}} {err:]}{p_end} {marker 02}{bf:{err:{dlgtab:Options}}} {synoptset 16}{...} {col 3}{opt depvar}{col 24}Dependent Variable {col 3}{opth var:iables(varlist)}{col 24}Independent Variables in model {col 3}{opt in:itial(init_val)}{col 24}Parameters (initial) Starting Values {col 3}{opt fun(expression)}{col 24}RHS Mathematical Expression {syntab :SE/Robust} {synopt :{cmd:vce(}{it:{help nl##vcetype:vcetype}}{cmd:)}}{it:vcetype} may be {opt gnr}, {opt r:obust}, {opt cl:uster} {it:clustvar}, {opt boot:strap}, {opt jack:knife}, {opt hac} {it:kernel}, {opt hc2}, or {opt hc3} {p_end} {marker 03}{bf:{err:{dlgtab:Description}}} {pstd} {cmd:lmnadnl} computes Non Linear Least Squares Non Normality Anderson-Darling Test. Ho: Normality - Ha: Non Normality - Anderson-Darling Z Test {marker 04}{bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:lmnadnl} saves the following in {cmd:e()}: {col 4}{cmd:e(lmnad)}{col 20}Anderson-Darling Z Test {col 4}{cmd:e(lmnadp)}{col 20}Anderson-Darling Z Test P-Value {marker 05}{bf:{err:{dlgtab:References}}} {p 4 8 2}Anderson T.W., Darling D.A. (1954) {cmd: "A Test of Goodness of Fit",} {it:Journal of the American Statisical Association, 49}; 765–69. {p 4 8 2}William E. Griffiths, R. Carter Hill and George G. Judge (1993) {cmd: "Learning and Practicing Econometrics",} {it:John Wiley & Sons, Inc., New York, USA}; 721-725. {marker 06}{bf:{err:{dlgtab:Examples}}} {stata clear all} {stata sysuse lmnadnl.dta , clear} {stata gen ly=ln(y)} {stata "lmnadnl ly , fun({B0}+{B1}*k+{B2}*l)"} {stata "lmnadnl ly, fun({B}-({H}/{R})*ln({D}*l^(-{R})+(1-{D})*k^(-{R}))) in(B 1 H 1 R 1 D 0.5)"} {hline} . clear all . sysuse lmnadnl.dta , clear . gen ly=ln(y) . lmnadnl ly, fun({B}-({H}/{R})*ln({D}*l^(-{R})+(1-{D})*k^(-{R}))) in(B 1 H 1 R 1 D 0.5) Source | SS df MS -------------+------------------------------ Number of obs = 30 Model | 59.529144 3 19.843048 R-squared = 0.9713 Residual | 1.7610762 26 .0677337 Adj R-squared = 0.9680 -------------+------------------------------ Root MSE = .260257 Total | 61.2902202 29 2.11345587 Res. dev. = .0781436 ------------------------------------------------------------------------------ ly | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- /B | .1244908 .0783444 1.59 0.124 -.0365483 .28553 /H | 1.012594 .0506832 19.98 0.000 .9084134 1.116775 /R | 3.010934 2.323389 1.30 0.206 -1.764861 7.786728 /D | .3366735 .1361129 2.47 0.020 .0568895 .6164575 ------------------------------------------------------------------------------ Parameter B taken as constant term in model & ANOVA table ============================================================================== *** NLS Non Normality Anderson-Darling Test ============================================================================== Ho: Normality - Ha: Non Normality ------------------------------------------------------------------------------ - Anderson-Darling Z Test = 0.4977 P > Z( 0.791) 0.7856 ------------------------------------------------------------------------------ {marker 07}{bf:{err:{dlgtab:Authors}}} - {hi:Emad Abd Elmessih Shehata} {hi:Professor (PhD Economics)} {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"}} - {hi:Sahra Khaleel A. Mickaiel} {hi:Professor (PhD Economics)} {hi:Cairo University - Faculty of Agriculture - Department of Economics - Egypt} {hi:Email: {browse "mailto:sahra_atta@hotmail.com":sahra_atta@hotmail.com}} {hi:WebPage:{col 27}{browse "http://sahraecon.110mb.com/stata.htm"}} {hi:WebPage at IDEAS:{col 27}{browse "http://ideas.repec.org/f/pmi520.html"}} {hi:WebPage at EconPapers:{col 27}{browse "http://econpapers.repec.org/RAS/pmi520.htm"}} {bf:{err:{dlgtab:LMNADNL Citation}}} {p 1}{cmd:Shehata, Emad Abd Elmessih & Sahra Khaleel A. Mickaiel (2015)}{p_end} {p 1 10 1}{cmd:LMNADNL: "Stata Module to Compute NLS Non Normality Anderson-Darling Test"}{p_end} {title:Online Help:} {bf:{err:* Non Normality Tests:}} {bf:{err:* (1) (OLS) * Ordinary Least Squares Tests:}} {helpb lmnreg}{col 12}OLS Non Normality Tests {helpb lmnad}{col 12}OLS Non Normality Anderson-Darling Test {helpb lmndh}{col 12}OLS Non Normality Doornik-Hansen Test {helpb lmndp}{col 12}OLS Non Normality D'Agostino-Pearson Test {helpb lmngry}{col 12}OLS Non Normality Geary Runs Test {helpb lmnjb}{col 12}OLS Non Normality Jarque-Bera Test {helpb lmnwhite}{col 12}OLS Non Normality White Test --------------------------------------------------------------------------- {bf:{err:* (2) (NLS) * Non Linear Least Squares Tests:}} {helpb lmnnls}{col 12}NLS Non Normality Tests {helpb lmnadnl}{col 12}NLS Non Normality Anderson-Darling Test {helpb lmndhnl}{col 12}NLS Non Normality Doornik-Hansen Test {helpb lmndpnl}{col 12}NLS Non Normality D'Agostino-Pearson Test {helpb lmngrynl}{col 12}NLS Non Normality Geary Runs Test {helpb lmnjbnl}{col 12}NLS Non Normality Jarque-Bera Test {helpb lmnwhitenl}{col 12}NLS Non Normality White Test --------------------------------------------------------------------------- {bf:{err:* (3) (MLE) * Maximum Likelihood Estimation Tests:}} {helpb lmnmle}{col 12}MLE Non Normality Tests {helpb lmnadml}{col 12}MLE Non Normality Anderson-Darling Test {helpb lmndhml}{col 12}MLE Non Normality Doornik-Hansen Test {helpb lmndpml}{col 12}MLE Non Normality D'Agostino-Pearson Test {helpb lmngryml}{col 12}MLE Non Normality Geary Runs Test {helpb lmnjbml}{col 12}MLE Non Normality Jarque-Bera Test {helpb lmnwhiteml}{col 12}MLE Non Normality White Test --------------------------------------------------------------------------- {bf:{err:* (4) (2SLS-IV) * Two-Stage Least Squares & Instrumental Variables Tests:}} {helpb lmnreg2}{col 12}2SLS-IV Non Normality Tests {helpb lmnad2}{col 12}2SLS-IV Non Normality Anderson-Darling Test {helpb lmndh2}{col 12}2SLS-IV Non Normality Doornik-Hansen Test {helpb lmndp2}{col 12}2SLS-IV Non Normality D'Agostino-Pearson Test {helpb lmngry2}{col 12}2SLS-IV Non Normality Geary Runs Test {helpb lmnjb2}{col 12}2SLS-IV Jarque-Bera LM Non Normality Test {helpb lmnwhite2}{col 12}2SLS-IV White IM Non Normality Test --------------------------------------------------------------------------- {bf:{err:* (5) Panel Data Tests:}} {helpb lmnxt}{col 12}Panel Data Non Normality Tests {helpb lmnadxt}{col 12}Panel Data Non Normality Anderson-Darling Test {helpb lmndhxt}{col 12}Panel Data Non Normality Doornik-Hansen Test {helpb lmndpxt}{col 12}Panel Data Non Normality D'Agostino-Pearson Test {helpb lmngryxt}{col 12}Panel Data Non Normality Geary Runs Test {helpb lmnjbxt}{col 12}Panel Data Non Normality Jarque-Bera Test {helpb lmnwhitext}{col 12}Panel Data Non Normality White Test --------------------------------------------------------------------------- {bf:{err:* (6) (3SLS-SUR) * Simultaneous Equations Tests:}} {helpb lmareg3}{col 12}(3SLS-SUR) Overall System Autocorrelation Tests {helpb lmhreg3}{col 12}(3SLS-SUR) Overall System Heteroscedasticity Tests {helpb lmnreg3}{col 12}(3SLS-SUR) Overall System Non Normality Tests {helpb lmcovreg3}{col 12}(3SLS-SUR) Breusch-Pagan Diagonal Covariance Matrix {helpb r2reg3}{col 12}(3SLS-SUR) Overall System R2, F-Test, and Chi2-Test {helpb diagreg3}{col 12}(3SLS-SUR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (7) (SEM-FIML) * Structural Equation Modeling Tests:}} {helpb lmasem}{col 12}(SEM-FIML) Overall System Autocorrelation Tests {helpb lmhsem}{col 12}(SEM-FIML) Overall System Heteroscedasticity Tests {helpb lmnsem}{col 12}(SEM-FIML) Overall System Non Normality Tests {helpb lmcovsem}{col 12}(SEM-FIML) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2sem}{col 12}(SEM-FIML) Overall System R2, F-Test, and Chi2-Test {helpb diagsem}{col 12}(SEM-FIML) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (8) (NL-SUR) * Non Linear Seemingly Unrelated Regression Tests:}} {helpb lmanlsur}{col 12}(NL-SUR) Overall System Autocorrelation Tests {helpb lmhnlsur}{col 12}(NL-SUR) Overall System Heteroscedasticity Tests {helpb lmnnlsur}{col 12}(NL-SUR) Overall System Non Normality Tests {helpb lmcovnlsur}{col 12}(NL-SUR) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2nlsur}{col 12}(NL-SUR) Overall System R2, F-Test, and Chi2-Test {helpb diagnlsur}{col 12}(NL-SUR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {bf:{err:* (9) (VAR) * Vector Autoregressive Model Tests:}} {helpb lmavar}{col 12}(VAR) Overall System Autocorrelation Tests {helpb lmhvar}{col 12}(VAR) Overall System Heteroscedasticity Tests {helpb lmnvar}{col 12}(VAR) Overall System Non Normality Tests {helpb lmcovvar}{col 12}(VAR) Breusch-Pagan Diagonal Covariance Matrix Test {helpb r2var}{col 12}(VAR) Overall System R2, F-Test, and Chi2-Test {helpb diagvar}{col 12}(VAR) Overall System ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- {psee} {p_end}