*! nehtests v2.0.0
*! 16 September 2024
*! Alfonso Sanchez-Penalver
/*******************************************************************************
* This program presents the tests of joint significance from the estimations. *
* of nehurdle. It is only distributed with the command nehurdle and will only. *
* work after an estimation using nehurdle. This program runs no test itself, *
* all the tests were run during nehurlde estimation, and stored in e(). Since. *
* everything is already stored in e(), this program doesn't store any values, *
* only displays them. *
*******************************************************************************/
capture program drop nehtests
program define nehtests
if "`e(cmd)'" != "nehurdle" {
di as error "{bf:nehtests} only works after {bf:nehurdle} estimations."
exit 198
}
// Checking if the tests yielded a statistic
if "`e(chi2)'" == "." ///
local ov_txt "{help j_robustsingular##|_new:Wald chi2(`e(df_m)')}"
else ///
local ov_txt "Wald chi2({bf:`e(df_m)'})"
di as txt "{hline 59}"
di as txt _col(3) "`e(title)' test(s) of joint significance"
di as txt "{hline 59}"
// Tobit and truncated poisson are different than the other two
if "`e(cmd_opt)'" == "tobit" {
// Ok so if we have heteroskedasticity we have three, if not just the overall
// So the overall is always on its own.
if "`e(het)'" != "" {
// Value and Value hetero
if "`e(val_chi2)'" == "." ///
local va_txt "{help j_robustsingular##|_new:Wald chi2(`e(val_df)')}"
else ///
local va_txt "Wald chi2({bf:`e(val_df)'})"
if "`e(het_chi2)'" == "." ///
local se_txt "{help j_robustsingular##|_new:Wald chi2(`e(het_df)')}"
else ///
local se_txt "Wald chi2({bf:`e(het_df)'})"
di as txt _col(3) "Value Equation" _col(32) "Value Std. Dev."
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
di as txt _col(3) "`va_txt'" _col(17) "= " _col(20) as result %9.2f ///
e(val_chi2) as txt _col(32) "`se_txt'" _col(46) "= " _col(49) ///
as result %9.2f e(het_chi2)
di as txt _col(3) "Prob > chi2" _col(17) "= " _col(20) as result ///
%9.4f e(val_p) as txt _col(32) "Prob > chi2" _col(46) "= " ///
_col(49) as result %9.4f e(het_p)
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
di ""
}
di as txt _col(3) "Overall"
di as txt _col(3) _dup(24) "-"
di as txt _col(3) "`ov_txt'" _col(17) "= " _col(20) as result %7.2f e(chi2)
di as txt _col(3) "Prob > chi2" _col(17) "= " _col(20) as result %7.4f e(p)
di as txt _col(3) _dup(24) "-"
}
else if "`e(cmd_opt)'" == "truncp" {
// Here we have selection and value, no variance. But we can have selection
// hetero. So if selection hetero we have 4 (including overall), if not 3.
// So we always have selection and value in the first row, and if we have
// selection hetero, we have two in the second row, if not just the overall.
if "`e(sel_chi2)'" == "." ///
local se_txt "{help j_robustsingular##|_new:Wald chi2(`e(sel_df)')}"
else ///
local se_txt "Wald chi2({bf:`e(sel_df)'})"
if "`e(val_chi2)'" == "." ///
local va_txt "{help j_robustsingular##|_new:Wald chi2(`e(val_df)')}"
else ///
local va_txt "Wald chi2({bf:`e(val_df)'})"
di as txt _col(3) "Selection Equation" _col(32) "Value Equation"
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
di as txt _col(3) "`se_txt'" _col(17) "= " _col(20) as result %9.2f ///
e(sel_chi2) as txt _col(32) "`va_txt'" _col(46) "= " _col(49) as ///
result %9.2f e(val_chi2)
di as txt _col(3) "Prob > chi2" _col(17) "= " _col(20) as result %9.4f ///
e(sel_p) as txt _col(32) "Prob > chi2" _col(46) "= " _col(49) as ///
result %9.4f e(val_p)
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
di ""
if "`e(selhet)'" != "" {
if "`e(selhet_chi2)'" == "." ///
local se_txt "{help j_robustsingular##|_new:Wald chi2(`e(selhet_df)')}"
else ///
local se_txt "Wald chi2({bf:`e(selhet_df)'})"
di as txt _col(3) "Selection Std. Dev." _col(32) "Overall"
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
di as txt _col(3) "`se_txt'" _col(17) "= " _col(20) as result %9.2f ///
e(selhet_chi2) as txt _col(32) "`ov_txt'" _col(46) "= " _col(49) as ///
result %9.2f e(chi2)
di as txt _col(3) "Prob > chi2" _col(17) "= " _col(20) as result %9.4f ///
e(selhet_p) as txt _col(32) "Prob > chi2" _col(46) "= " _col(49) as ///
result %9.4f e(p)
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
di ""
}
else {
// Overall
di as txt _col(3) "Overall"
di as txt _col(3) _dup(24) "-"
di as txt _col(3) "`ov_txt'" _col(17) "= " _col(20) as result %7.2f e(chi2)
di as txt _col(3) "Prob > chi2" _col(17) "= " _col(20) as result %7.4f e(p)
di as txt _col(3) _dup(24) "-"
}
}
else {
// Normal hurdles, tobit type 2 and truncated negative binomials all have
// at least selection and value.
if "`e(sel_chi2)'" == "." ///
local se_txt "{help j_robustsingular##|_new:Wald chi2(`e(sel_df)')}"
else ///
local se_txt "Wald chi2({bf:`e(sel_df)'})"
if "`e(val_chi2)'" == "." ///
local va_txt "{help j_robustsingular##|_new:Wald chi2(`e(val_df)')}"
else ///
local va_txt "Wald chi2({bf:`e(val_df)'})"
di as txt _col(3) "Selection Equation" _col(32) "Value Equation"
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
di as txt _col(3) "`se_txt'" _col(17) "= " _col(20) as result %9.2f ///
e(sel_chi2) as txt _col(32) "`va_txt'" _col(46) "= " _col(49) as ///
result %9.2f e(val_chi2)
di as txt _col(3) "Prob > chi2" _col(17) "= " _col(20) as result %9.4f ///
e(sel_p) as txt _col(32) "Prob > chi2" _col(46) "= " _col(49) as ///
result %9.4f e(val_p)
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
di ""
if "`e(cmd_opt)'" == "truncnb1" | "`e(cmd_opt)'" == "truncnb2" ///
local svtitle "Dispersion (lnalpha)"
else local svtitle "Value Std. Dev."
// Now we can have heteroskedasticity equations or not, and we always
// have the overall test
if "`e(het)'" != "" & "`e(selhet)'" != "" {
// Both Heteroskedasticities
if "`e(het_chi2)'" == "." ///
local va_txt "{help j_robustsingular##|_new:Wald chi2(`e(het_df)')}"
else ///
local va_txt "Wald chi2({bf:`e(het_df)'})"
if "`e(selhet_chi2)'" == "." ///
local se_txt "{help j_robustsingular##|_new:Wald chi2(`e(selhet_df)')}"
else ///
local se_txt "Wald chi2({bf:`e(selhet_df)'})"
di as txt _col(3) "Selection Std. Dev." _col(32) "`svtitle'"
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
di as txt _col(3) "`se_txt'" _col(17) "= " _col(20) as result %9.2f ///
e(selhet_chi2) as txt _col(32) "`va_txt'" _col(46) "= " _col(49) as ///
result %9.2f e(het_chi2)
di as txt _col(3) "Prob > chi2" _col(17) "= " _col(20) as result %9.4f ///
e(selhet_p) as txt _col(32) "Prob > chi2" _col(46) "= " _col(49) as ///
result %9.4f e(het_p)
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
di ""
// Overall
di as txt _col(3) "Overall"
di as txt _col(3) _dup(24) "-"
di as txt _col(3) "`ov_txt'" _col(17) "= " _col(20) as result %7.2f e(chi2)
di as txt _col(3) "Prob > chi2" _col(17) "= " _col(20) as result %7.4f e(p)
di as txt _col(3) _dup(24) "-"
}
else if "`e(het)'" != "" {
// Only value heteroskedasticity and overall
if "`e(het_chi2)'" == "." ///
local va_txt "{help j_robustsingular##|_new:Wald chi2(`e(het_df)')}"
else ///
local va_txt "Wald chi2({bf:`e(het_df)'})"
di as txt _col(3) "`svtitle'" _col(32) "Overall"
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
di as txt _col(3) "`va_txt'" _col(17) "= " _col(20) as result %9.2f ///
e(het_chi2) as txt _col(32) "`ov_txt'" _col(46) "= " _col(49) ///
as result %9.2f e(chi2)
di as txt _col(3) "Prob > chi2" _col(17) "= " _col(20) as result ///
%9.4f e(het_p) as txt _col(32) "Prob > chi2" _col(46) "= " ///
_col(49) as result %9.4f e(p)
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
}
else if "`e(selhet)'" != "" {
// Only selection heteroskedasticity and overall
if "`e(het_chi2)'" == "." ///
local va_txt "{help j_robustsingular##|_new:Wald chi2(`e(selhet_df)')}"
else ///
local va_txt "Wald chi2({bf:`e(selhet_df)'})"
di as txt _col(3) "Selection Std. Dev." _col(32) "Overall"
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
di as txt _col(3) "`va_txt'" _col(17) "= " _col(20) as result %9.2f ///
e(selhet_chi2) as txt _col(32) "`ov_txt'" _col(46) "= " ///
_col(49) as result %9.2f e(chi2)
di as txt _col(3) "Prob > chi2" _col(17) "= " _col(20) as result ///
%9.4f e(selhet_p) as txt _col(32) "Prob > chi2" _col(46) "= " ///
_col(49) as result %9.4f e(p)
di as txt _col(3) _dup(26) "-" _col(32) _dup(26) "-"
}
else {
// Only overall
di as txt _col(3) "Overall"
di as txt _col(3) _dup(24) "-"
di as txt _col(3) "`ov_txt'" _col(17) "= " _col(20) as result %7.2f ///
e(chi2)
di as txt _col(3) "Prob > chi2" _col(17) "= " _col(20) as result ///
%7.4f e(p)
di as txt _col(3) _dup(24) "-"
}
}
di as txt "{hline 59}"
end
// Version 1.0.0 did tests for normal hurdles, tobit and type 2 tobit
// Version 2.0.0 added the truncated poisson and truncated negative binomial hurdles