help: lmnnlsur dialog:

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 - 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

lmnnlsur Citation

Shehata, Emad Abd Elmessih (2012)

LMNNLSUR: "Overall System NL-SUR Non Normality Tests"

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