+-------+ ----+ Title +------------------------------------------------------------
lmnwhite: OLS White Non Normality Lagrange Multiplier Test
+--------+ ----+ Syntax +-----------------------------------------------------------
lmnwhite 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 +------------------------------------------------------
lmnwhite computes White Non Normality Test for OLS residuals after regress command.
+---------------+ ----+ Saved Results +----------------------------------------------------
lmnwhite saves the following in r():
r(lmn) White IM Test r(lmnp) White IM Test P-Value r(lmndf) Degrees of Freedom
+------------+ ----+ References +-------------------------------------------------------
Damodar Gujarati (1995) "Basic Econometrics" 3rd Edition, McGraw Hill, New York, USA.
+----------+ ----+ Examples +---------------------------------------------------------
clear all
sysuse lmnwhite.dta, clear
db lmnwhite
lmnwhite y x1 x2
return list -------------------------------------------------------------------------------
. clear all . sysuse lmnwhite.dta , clear . lmnwhite y1 x1 x2
Source | SS df MS Number of obs = 17 -------------+------------------------------ F( 2, 14) = 136.68 Model | 8460.93712 2 4230.46856 Prob > F = 0.0000 Residual | 433.313039 14 30.9509313 R-squared = 0.9513 -------------+------------------------------ Adj R-squared = 0.9443 Total | 8894.25016 16 555.890635 Root MSE = 5.5634
------------------------------------------------------------------------------ y | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- x1 | 1.061709 .2666739 3.98 0.001 .4897506 1.633668 x2 | -1.382986 .0838143 -16.50 0.000 -1.562749 -1.203222 _cons | 130.7066 27.09429 4.82 0.000 72.59515 188.8181 ------------------------------------------------------------------------------
============================================================================== * OLS White Lagrange Multiplier Non Normality Test ============================================================================== Ho: Normality - Ha: Non Normality
White LM Test = 1.06961 Degrees of Freedom = 2.0 P-Value > Chi2(2) = 0.58578
+--------+ ----+ 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
+-------------------+ ----+ lmnwhite Citation +------------------------------------------------
Shehata, Emad Abd Elmessih (2012) LMNWHITE: "Stata Module to Compute White Non Normality Lagrange Multiplier Test after OLS Regression"
Online Help:
lmnjb, lmngry (if installed).