help: lmnreg3 dialog:

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 - 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

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).