+-------+ ----+ Title +------------------------------------------------------------
lmnnlsur: Overall System NL-SUR Non Normality Tests
+--------+ ----+ Syntax +-----------------------------------------------------------
lmnnlsur
+-------------+ ----+ Description +------------------------------------------------------
lmnnlsur computes Overall System NL-SUR Non Normality Tests, after: - (NL-SUR) Non-Linear Seemingly Unrelated Regression Estimation nlsur for sets of equations.
+---------------+ ----+ Saved Results +----------------------------------------------------
lmnnlsur saves the following in r():
Scalars
r(lmnjb_#) Jarque-Bera LM Test for eq.# r(lmnjbp_#) Jarque-Bera LM Test for eq.# P-Value
r(lmnjb) Jarque-Bera LM Test r(lmnjbp) Jarque-Bera LM Test P-Value r(lmndh) Doornik-Hansen LM Test r(lmndhp) Doornik-Hansen LM Test P-Value r(lmng) Geary LM Test r(lmngp) Geary LM Test P-Value r(lmnad) Anderson-Darling Z Test r(lmnadp) Anderson-Darling Z Test P-Value r(lmndp) D'Agostino-Pearson LM Test r(lmndpp) D'Agostino-Pearson LM Test P-Value r(lmnsvs) Srivastava LM Skewness Test r(lmnsvsp) Srivastava LM Skewness Test P-Value r(lmnsms1) Small LM Skewness Test r(lmnsms1p) Small LM Skewness Test P-Value r(lmnsms2) Skewness Z Test r(lmnsms2p) Skewness Z Test P-Value r(lmnsvk) Srivastava Z Kurtosis Test r(lmnsvkp) Srivastava Z Kurtosis Test P-Value r(lmnsmk1) Small LM Kurtosis Test r(lmnsmk1p) Small LM Kurtosis Test P-Value r(lmnsmk2) Kurtosis Z Test r(lmnsmk2p) Kurtosis Z Test P-Value r(sk) Skewness Coefficient r(sksd) Skewness Standard Deviation r(ku) Kurtosis Coefficient r(kusd) Kurtosis Standard Deviation r(sn) Standard Deviation Runs Sig(k) r(en) Mean Runs E(k) r(lower) Lower 95% Conf. Interval [E(k)- 1.96* Sig(k)] r(upper) Upper 95% Conf. Interval [E(k)+ 1.96* Sig(k)]
+------------+ ----+ References +-------------------------------------------------------
Anderson T.W., Darling D.A. (1954) "A Test of Goodness of Fit", Journal of the American Statisical Association, 49; 765–69.
C.M. Jarque & A.K. Bera (1987) "A Test for Normality of Observations and Regression Residuals" International Statistical Review , Vol. 55; 163-172.
D'Agostino, R. B., & Rosman, B. (1974) "The Power of Geary’s Test of Normality", Biometrika, 61(1); 181-184.
Damodar Gujarati (1995) "Basic Econometrics" 3rd Edition, McGraw Hill, New York, USA.
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.
Pearson, E. S., D'Agostino, R. B., & Bowman, K. O. (1977) "Tests for Departure from Normality: Comparison of Powers", Biometrika, 64(2); 231-246.
+----------+ ----+ Examples +---------------------------------------------------------
clear all
sysuse lmnnlsur.dta , clear
* (1) NL-SUR Model:
nlsur (y1={B10}+{B11}*y2+{B12}*x1+{B13}*x2) (y2={B20}+{B21}*y1+{B22}*x3+{B23}* > x4)
lmnnlsur
return list
* (2) SUR Model:
sureg (y1 y2 x1 x2) (y2 y1 x3 x4)
lmnnlsur
return list
. clear all . sysuse lmnnlsur.dta , clear . nlsur (y1={B10}+{B11}*y2+{B12}*x1+{B13}*x2) (y2={B20}+{B21}*y1+{B22}*x3+{B23} > *x4)
FGNLS regression --------------------------------------------------------------------- Equation | Obs Parms RMSE R-sq Constant ----------------+---------------------------------------------------- 1 y1 | 20 4 125.6433 0.8266 B10 2 y2 | 20 4 19.52663 0.7801 B20 ---------------------------------------------------------------------
------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- /B10 | -68.61381 119.3219 -0.58 0.565 -302.4804 165.2528 /B11 | 6.586666 .6994811 9.42 0.000 5.215708 7.957623 /B12 | .0771727 .0496441 1.55 0.120 -.020128 .1744733 /B13 | -.3247027 .2355698 -1.38 0.168 -.7864111 .1370056 /B20 | 11.0109 24.11753 0.46 0.648 -36.25859 58.28038 /B21 | .137451 .0141117 9.74 0.000 .1097926 .1651094 /B22 | -.0018792 .0116164 -0.16 0.871 -.0246469 .0208885 /B23 | -.0024405 .0142685 -0.17 0.864 -.0304061 .0255252 ------------------------------------------------------------------------------
. lmnnlsur ============================================================================== * System NL-SUR Non Normality Tests ============================================================================== *** Single Equation Non Normality Tests: Ho: Normality - Ha: Non Normality
Eq. 1 : Jarque-Bera LM Test = 1.5868 P-Value > Chi2(2) 0.4523 Eq. 2 : Jarque-Bera LM Test = 2.3209 P-Value > Chi2(2) 0.3133 ------------------------------------------------------------------------------
============================================================================== *** Overall System NL-SUR Non Normality Tests: Ho: No Overall System Non Normality ------------------------------------------------------------------------------ *** Non Normality Tests: - Jarque-Bera LM Test = 33.3557 P-Value > Chi2(2) 0.0000 - Doornik-Hansen LM Test = 22.9825 P-Value > Chi2(2) 0.0000 - Geary LM Test = -0.9475 P-Value > Chi2(2) 0.6227 - Anderson-Darling Z Test = 1.8507 P > Z( 3.693) 0.9999 - D'Agostino-Pearson LM Test = 15.0782 P-Value > Chi2(2) 0.0005 ------------------------------------------------------------------------------ *** Skewness Tests: - Srivastava LM Skewness Test = 4.0267 P-Value > Chi2(1) 0.0448 - Small LM Skewness Test = 4.4539 P-Value > Chi2(1) 0.0348 - Skewness Z Test = -2.1104 P-Value > Chi2(1) 0.0348 ------------------------------------------------------------------------------ *** Kurtosis Tests: - Srivastava Z Kurtosis Test = 5.4156 P-Value > Z(0,1) 0.0000 - Small LM Kurtosis Test = 10.6242 P-Value > Chi2(1) 0.0011 - Kurtosis Z Test = 3.2595 P-Value > Chi2(1) 0.0011 ------------------------------------------------------------------------------ Skewness Coefficient = -0.7772 - Standard Deviation = 0.3738 Kurtosis Coefficient = 7.1949 - Standard Deviation = 0.7326 ------------------------------------------------------------------------------ Runs Test: (18) Runs - (19) Positives - (21) Negatives Standard Deviation Runs Sig(k) = 3.1135 , Mean Runs E(k) = 20.9500 95% Conf. Interval [E(k)+/- 1.96* Sig(k)] = (14.8476 , 27.0524 ) ------------------------------------------------------------------------------
+--------+ ----+ 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
+-------------------+ ----+ lmnnlsur Citation +------------------------------------------------
Shehata, Emad Abd Elmessih (2012) LMNNLSUR: "Overall System NL-SUR Non Normality Tests"
Online Help:
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