+-------+ ----+ Title +------------------------------------------------------------
lmnreg3: Overall System Non Normality Tests after (3SLS-SURE) Regressions
+--------+ ----+ Syntax +-----------------------------------------------------------
lmnreg3
+-------------+ ----+ Description +------------------------------------------------------
lmnreg3 computes overall system Non Normality Tests, after: - (3SLS) Three-Stage Least Squares reg3 for systems of simultaneous equations. - (SURE) Seemingly Unrelated Regression Estimation sureg for sets of equations.
+---------------+ ----+ Saved Results +----------------------------------------------------
lmnreg3 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 lmnreg3.dta , clear
* (1) SUR Model:
sureg (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4)
lmnreg3
return list
* (2) 3SLS Model:
reg3 (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4)
lmnreg3
return list
* If you want to use dialog box: Press OK to compute lmnreg3
db lmnreg3
. clear all . sysuse lmnreg3.dta , clear . reg3 (y1 x1 z1) (y2 x2 z2) (y3 x3 z3) (y4 x4 z4) . lmnreg3
================================================= * System Non Normality Tests (3sls) ================================================= *** Single Equation Non Normality Tests: Ho: Normality - Ha: Non Normality
Eq. y1 : Jarque-Bera LM Test = 1.4515 P-Value > Chi2(2) 0.4840 Eq. y2 : Jarque-Bera LM Test = 18.1562 P-Value > Chi2(2) 0.0001 Eq. y3 : Jarque-Bera LM Test = 2.0054 P-Value > Chi2(2) 0.3669 Eq. y4 : Jarque-Bera LM Test = 0.8628 P-Value > Chi2(2) 0.6496 ------------------------------------------------------------------------------
*** Overall System Non Normality Tests: Ho: No Overall System Non Normality
*** Non Normality Tests: - Jarque-Bera LM Test = 2.3287 P-Value > Chi2(2) 0.3121 - Doornik-Hansen LM Test = 3.2725 P-Value > Chi2(2) 0.1947 - Geary LM Test = -2.2504 P-Value > Chi2(2) 0.3246 - Anderson-Darling Z Test = 0.5028 P-Value>Z( 3.409) 0.9997 - D'Agostino-Pearson LM Test = 3.0259 P-Value > Chi2(2) 0.2203 ------------------------------------------------------------------------------ *** Skewness Tests: - Srivastava LM Skewness Test = 1.0859 P-Value > Chi2(1) 0.2974 - Small LM Skewness Test = 1.2242 P-Value > Chi2(1) 0.2685 - Skewness Z Test = -1.1064 P-Value > Chi2(1) 0.2685 ------------------------------------------------------------------------------ *** Kurtosis Tests: - Srivastava Z Kurtosis Test = 1.1148 P-Value > Z(0,1) 0.2649 - Small LM Kurtosis Test = 1.8017 P-Value > Chi2(1) 0.1795 - Kurtosis Z Test = 1.3423 P-Value > Chi2(1) 0.0898 ------------------------------------------------------------------------------ Skewness Coefficient = -0.2854 - Standard Deviation = 0.2689 Kurtosis Coefficient = 3.6106 - Standard Deviation = 0.5318 ------------------------------------------------------------------------------ Runs Test: (31) Runs - (40) Positives - (40) Negatives Standard Deviation Runs Sig(k) = 4.4437 , Mean Runs E(k) = 41.0000 95% Conf. Interval [E(k)+/- 1.96* Sig(k)] = (32.2903 , 49.7097 ) ------------------------------------------------------------------------------
+--------+ ----+ 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
+------------------+ ----+ lmnreg3 Citation +-------------------------------------------------
Shehata, Emad Abd Elmessih (2011) "LMNREG: Stata Module to Compute Overall System Non Normality Tests after (3SLS-SURE) Regressions"
Online Help:
lmnreg lmnreg2 lmnreg3 (if installed).