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help: lmsrd                                                   dialog: lmsrd
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+-------+ ----+ Title +------------------------------------------------------------

lmsrd: Spurious Regression Diagnostic

+--------+ ----+ Syntax +-----------------------------------------------------------

lmsrd 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 +------------------------------------------------------

lmsrd computes Spurious Regression Diagnostic after regress command.

+---------------+ ----+ Saved Results +----------------------------------------------------

lmadurh saves the following in r():

Scalars r(rho) Rho Value r(dw) Durbin-Watson Test r(r2) R-squared

+------------+ ----+ References +-------------------------------------------------------

Damodar Gujarati (1995) "Basic Econometrics" 3rd Edition, McGraw Hill, New York, USA; 724-726.

Maddala, G. (1992) "Introduction to Econometrics", 2nd ed., Macmillan Publishing Company, New York, USA; 245.

+----------+ ----+ Examples +---------------------------------------------------------

clear all

db lmsrd

sysuse lmsrd.dta , clear

lmsrd y x1 x2

return list

============================================================================== * Ordinary Least Squares (OLS) ============================================================================== 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 Spurious Regression Diagnostic ============================================================================== Ho: No Spurious Regression: R2 < DW Ha: Spurious Regression: R2 > DW

--------------------------------------------------------------------------- * Rho Value = -0.14548 * R-squared = 0.95128 * Durbin-Watson Test = 2.01855 df: (3 , 17) --------------------------------------------------------------------------- No Spurious Regression: R2 (0.9513) < DW (2.0185)

+--------+ ----+ 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

+----------------+ ----+ lmsrd Citation +---------------------------------------------------

Shehata, Emad Abd Elmessih (2012) LMSRD: "Spurious Regression Diagnostic"