help: lmngry dialog:

Title

lmngry: Geary Non Normality Lagrange Multiplier Runs Test

Syntax

lmngry depvar indepvars [if] [in] [weight] , [ noconstant vce(vcetype) ]

Options

noconstant suppress constant term

SE/Robust
vce(vcetype) vcetype may be ols,
robust, cluster clustvar, bootstrap,
jackknife, hc2, or hc3

Description

lmngry computes Geary Lagrange Multiplier non normality runs test for OLS residuals after regress command.

Ho: Error has normality distribution.

Ha: Error has non normality distribution.

Geary LM test has degrees of freedom with chi2 at 2 DF (5.99).

Saved Results

lmngry saves the following in r():

Scalars

r(lmn) Geary LM Test

r(df) Chi2 degrees of freedom

r(p) P-Value significance

Example

clear all

sysuse lmngry.dta, clear

lmngry y x1 x2

return list

db lmngry

References

Damodar Gujarati (1995)
"Basic Econometrics"
3rd Edition, McGraw Hill, New York, USA; 419-420.

Geary R.C. (1947) "Testing for Normality" Biometrika, Vol. 34; 209-242.

Geary R.C. (1970) "Relative Efficiency of Count of Sign Changes for Assessing Residuals Autoregression in Least Squares Regression"
Biometrika, Vol. 57; 123-127.

Author

Emad Abd Elmessih Shehata
Assistant Professor
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
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

lmngry Citation

Shehata, Emad Abd Elmessih (2011)

"lmngry: Stata Module to Compute Geary Non Normality Lagrange Multiplier Runs Test"