*! spregdpd V2.0 03/03/2013
*!
*! Emad Abd Elmessih Shehata
*! Professor (PhD Economics)
*! 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

*! Sahra Khaleel A. Mickaiel
*! Professor (PhD Economics)
*! Cairo University - Faculty of Agriculture - Department of Economics - Egypt
*! Email: sahra_atta@hotmail.com
*! WebPage:               http://sahraecon.110mb.com/stata.htm
*! WebPage at IDEAS:      http://ideas.repec.org/f/pmi520.html
*! WebPage at EconPapers: http://econpapers.repec.org/RAS/pmi520.htm

program define spregdpd, eclass
version 11.0
syntax varlist , nc(str) WMFile(str) [Model(str) Run(str) zero coll ///
 diag INV vce(passthru) stand MFX(str) INV2 LMHet LMSPac BE FE RE pre(str) ///
 iter(int 100) endog(str) level(passthru) PREDict(str) RESid(str) TWOstep ///
 tech(str) tolog inst(str) dgmmiv(str) TESTs diff(str) NOCONStant LMNorm]
gettoken yvar xvar : varlist
local sthlp spregdpd
local both : list yvar & xvar
if "`both'" != "" {
di
di as err " {bf:{cmd:`both'} included in both LHS and RHS Variables}"
di as res " LHS: `yvar'"
di as res " RHS: `xvar'"
 exit
 }
if "`model'"!="" {
if !inlist("`model'", "sar", "sdm") {
di
di as err "{bf:model()} {cmd:must be:} {bf:sar, sdm}"
di in smcl _c "{cmd: see:} {help `sthlp'##04:Model Options}"
di in gr _c " (spregdpd Help):"
 exit
 }
 }
if "`xvar'"=="" {
if inlist("`model'", "sdm") {
di
di as err "  {bf:Independent Variable(s) must be used with Spatial Durbin: {bf:sdm}}"
 exit
 }
 }
if "`run'"=="" {
di as err "{bf:run( )} {cmd:must be specified:} {bf:xtabond, xtdhp, xtdpd, xtdpdsys}"
di in smcl _c "{cmd: see:} {help `sthlp'##05:Run Options}"
di in gr _c " (spregdpd Help):"
 exit
 }
if "`run'"!="" {
if !inlist("`run'", "xtabond", "xtdpd", "xtdpdsys", "xtdhp") {
di
di as err "{bf:run( )} {cmd:options:} {bf:xtabond, xtdhp, xtdpd, xtdpdsys}"
di in smcl _c "{cmd: see:} {help `sthlp'##05:Run Options}"
di in gr _c " (spregdpd Help):"
 exit
 }
 }
if inlist("`run'", "xtdpd") & "`dgmmiv'"=="" {
di
di as err " {cmd:option} {bf:dgmmiv({it:varlist})} {cmd:must be combined with:} {bf:run({it:xtdpd})}"
 exit
 }
if !inlist("`run'", "xtdpd") & "`dgmmiv'"!="" {
di
di as err " {cmd:option} {bf:dgmmiv({it:varlist})} {cmd:works only with:} {bf:run({it:xtdpd})}"
 exit
 }
local usext `fe' `re' `be'
if !inlist("`run'", "xtdhp") & "`usext'"!="" {
di
di as err " {bf:fe, re, be} {cmd:works only with:} {bf: run({it:xtdhp})}"
 exit
 }
if "`tests'"!="" {
local lmspac "lmspac"
local diag "diag"
local lmhet "lmhet"
local lmnorm "lmnorm"
 }
 if "`mfx'"!="" {
if !inlist("`mfx'", "lin", "log") {
di
di as err " {bf:mfx( )} {cmd:must be} {bf:mfx({it:lin})} {cmd:for Linear Model, or} {bf:mfx({it:log})} {cmd:for Log-Log Model}"
exit
 }
 }
 if inlist("`mfx'", "log") {
 if "`tolog'"=="" {
di
di as err " {bf:tolog} {cmd:must be combined with} {bf:mfx(log)}"
 exit
 }
 }
tempvar Bw D DE DF1 DumE E dcs P Phi Pm q Q Qr q1 q2 Qrq s XQX_
tempvar EE Eo Es Ev Ew Hat ht idv itv LE LEo LYh2 P Q SBB Sig2 SSE
tempvar SST Time tm U U2 Ue wald weit Wi Wio WS X X0 Bo
tempvar Xb XB Xo XQ Yb Yh Yh2 Yhb Yt YY YYm YYv Yh_ML Ue_ML Z
tempname A B b Beta BetaSP Bx kbm Cov Cov1 D den DVE DVNE Dx E E1 Eg Eo kb
tempname h Hat IPhi J K v2 In Ew F mh M Sig2 Sig2o Sn SSE X XB V SST1 SST2 Xo
tempname Vec vh VM VP VQ Vs W W1 W2 Wald We Wi Wi1 Wio WY Nmiss llf
tempname xq Y Yh Yi YYm YYv Z Z0 Z1 Zo Zr X0 Ue kbab kbd Sig21 dfab kb1 kbc2
tempname WS D WW eVec N DF kx kb NC NT kxd lmiab lmiabp sigox Dim rRo kb2 kbc1
di
scalar `N'=_N
scalar `NC'=`nc'
scalar `NT'=int(_N/`NC')
local N=`N'
local NT=`NT'
local NC=`NC'
if "`wmfile'" != "" {
preserve
qui use `"`wmfile'"', clear
qui summ
if `NT' !=int(`N'/r(N)) {
di
di as err " Cross Section Weight Matrix = " r(N)
di as err " Time Series obs             = " `NT'
di as err " Sample Size (Number of obs) = " `N'
di as res " {bf:(Cross Sections x Time) must be Equal Sample Size}"
di as err " {bf:Spatial Cross Section Weight Matrix Dimension not correct}"
di as err " {bf:Check Correct Number Units, Unequal Time Series not Allowed}"
 exit
 }
mkmat * , matrix(_WB)
qui egen ROWSUM=rowtotal(*)
qui count if ROWSUM==0
local NN=r(N)
if `NN'==1 {
di as err "*** {bf:Spatial Weight Matrix Has (`NN') Location with No Neighbors}"
 }
else if `NN'>1 {
di as err "*** {bf:Spatial Weight Matrix Has (`NN') Locations with No Neighbors}"
 }
local NROW=rowsof(_WB)
local NCOL=colsof(_WB)
if `NROW'!=`NCOL' {
di as err "*** {bf:Spatial Weight Matrix is not Square}"
 exit
 }
di _dup(78) "{bf:{err:=}}"
if "`stand'"!="" {
di as res "{bf:*** Standardized Weight Matrix: `N'x`N' - NC=`NC' NT=`NT' (Normalized)}"
matrix `Xo'=J(`NC',1,1)
matrix WB=_WB*`Xo'*`Xo''
mata: X = st_matrix("_WB")
mata: Y = st_matrix("WB")
mata: _WS=X:/Y
mata: _WS=st_matrix("_WS",_WS)
mata: _WS = st_matrix("_WS")
 if "`inv'"!="" {
di as res "{bf:*** Inverse Standardized Weight Matrix (1/W)}"
mata: _WS=1:/_WS
mata: _editmissing(_WS, 0)
mata: _WS=st_matrix("_WS",_WS)
 }
 if "`inv2'"!="" {
di as res "{bf:*** Inverse Squared Standardized Weight Matrix (1/W^2)}"
mata: _WS=_WS:*_WS
mata: _WS=1:/_WS
mata: _editmissing(_WS, 0)
mata: _WS=st_matrix("_WS",_WS)
 }
matrix WCS=_WS
 }
else {
di as res "{bf:*** Binary (0/1) Weight Matrix: `N'x`N' - NC=`NC' NT=`NT' (Non Normalized)}"
matrix WCS=_WB
 }
matrix WMB=WCS#I(`NT')
di _dup(78) "{bf:{err:=}}"
restore
 }
ereturn scalar Nn=_N
qui marksample touse
qui cap count
local N = r(N)
qui count
local N = _N
qui markout `touse' `varlist' `endog' `inst' `diff' `pre' , strok
qui mean `varlist'
scalar `Nmiss' = e(N)
if "`zero'"=="" {
if `N' !=`Nmiss' {
di
di as err "*** {bf:Observations have {bf:(" `N'-`Nmiss' ")} Missing Values}"
di as err "*** {bf:You can use {cmd:zero} option to Convert Missing Values to Zero}"
 exit
 }
 }
qui cap count
local N = r(N)
local NC=`nc'
local NT=`N'/`NC'
qui cap drop `idv'
qui cap drop `itv'
qui cap drop `Time'
gen `Time' = _n
gen `idv'= ceil(_n/`NT')
gen `itv'= _n-(`idv'-1)*`NT'
qui xtset `idv' `itv'
scalar `Dim' = `N'
local MSize= `Dim'
if `c(matsize)' < `MSize' {
di as err " {bf:Current Matrix Size = (`c(matsize)')}"
di as err " {bf:{help matsize##|_new:matsize} must be >= Sample Size" as res " (`MSize')}"
qui set matsize `MSize'
di as res " {bf:matsize increased now to = (`c(matsize)')}"
 }
qui marksample touse
markout `touse' `varlist' `endog' `inst' `diff' `pre' , strok

 if "`zero'"!="" {
tempvar zeromiss
qui foreach var of local varlist {
qui gen `zeromiss'`var'=`var'
qui replace `var'=0 if `var'==.
 }
 }
if "`tolog'"!="" {
local vlistlog " `varlist' `endog' `inst' `diff' `pre' `dgmmiv' "
qui _rmcoll `vlistlog' , `noconstant' `coll' forcedrop
local vlistlog "`r(varlist)'"
di _dup(45) "-"
qui foreach var of local vlistlog {
tempvar xyind`var'
qui gen `xyind`var''=`var'
qui replace `var'=ln(`var')
qui replace `var'=0 if `var'==.
 }
di as err " {cmd:** Data Have been Transformed to Log Form **}"
di as txt " {cmd:** `varlist'} "
di _dup(45) "-"
 if "`endog'"!="" {
di as err "{bf:** Endogenous Variables}"
di as txt " {cmd:** `endog'} "
di _dup(78) "-"
 }
 if "`inst'"!="" {
di as err "{bf:** Additional Instrumental Variables}"
di as txt " {cmd:** `inst'} "
di _dup(78) "-"
 }
 if "`pre'"!="" {
di as err "{bf:** Predetermined Variables}"
di as txt " {cmd:** `pre'} "
di _dup(78) "-"
 }
 if "`diff'"!="" {
di as err "{bf:** Already Differenced Exogenous Variables}"
di as txt " {cmd:** `diff'} "
di _dup(78) "-"
 }
 if "`dgmmiv'"!="" {
di as err "{bf:** GMM Instruments for Differenced Equation}"
di as txt " {cmd:** `dgmmiv'} "
di _dup(78) "-"
 }
 }
 if "`coll'"=="" {
_rmcoll `varlist' , `noconstant' `coll' forcedrop
 local varlist "`r(varlist)'"
 gettoken yvar xvar : varlist
if "`endog'"!="" {
_rmcoll `endog' , `noconstant' `coll' forcedrop
 local endog "`r(varlist)'"
 }
if "`inst'"!="" {
_rmcoll `inst' , `noconstant' `coll' forcedrop
 local inst "`r(varlist)'"
 }
if "`diff'"!="" {
_rmcoll `diff' , `noconstant' `coll' forcedrop
 local diff "`r(varlist)'"
 }
if "`pre'"!="" {
_rmcoll `pre' , `noconstant' `coll' forcedrop
 local pre "`r(varlist)'"
 }
if "`dgmmiv'"!="" {
 _rmcoll `dgmmiv' , `noconstant' `coll' forcedrop
 local dgmmiv "`r(varlist)'"
 }
}
_vce_parse , opt(Robust oim opg) argopt(CLuster): , `vce'
mkmat `yvar' , matrix(`Y')
 if "`wmfile'"!="" {
tempname WS1 xyvar
mkmat `yvar' , matrix(`xyvar')
matrix `WS1'= WMB
qui cap drop w1x_*
qui cap drop w1y_*
tempname w1y_`yvar'
matrix `w1y_`yvar'' = `WS1'*`xyvar'
svmat  `w1y_`yvar'' , name(w1y_`yvar')
rename  w1y_`yvar'1 w1y_`yvar'
label variable w1y_`yvar' `"AR(1) `yvar' Spatial Lag"'
if "`xvar'"!="" {
qui foreach var of local xvar {
qui cap drop w1x_`var'
tempname w1x_`var'
mkmat `var' , matrix(`xyvar')
matrix `w1x_`var'' = `WS1'*`xyvar'
qui cap drop w1x_`var'
svmat `w1x_`var'' , name(w1x_`var')
rename w1x_`var'1 w1x_`var'
label variable w1x_`var' `"AR(1) `var' Spatial Lag"'
 }
 }
 }

if "`model'"!="" {
qui gen `X0'=1
qui mkmat `X0' , matrix(`X0')
if !inlist("`run'", "xtabond", "xtdpdsys", "xtdhp") {
qui tabulate `idv' , generate(`dcs')
mkmat `dcs'* , matrix(`D')
matrix `P'=`D'*invsym(`D''*`D')*`D''
matrix `Q'=I(`N')-`P'
 }
if "`xvar'"!="" {
if inlist("`model'", "sdm") {
 local usedpd "Durbin"
unab wxxs: w1x_*
local SPXvar `pre' `xvar' `wxxs'
 }
if !inlist("`model'", "sdm") {
 local usedpd "Lag"
unab wyxs: w1y_`yvar'
local SPXvar `pre' `wyxs' `xvar'
 }
}

if "`xvar'"=="" {
if inlist("`model'", "sdm") {
 local usedpd "Durbin"
local SPXvar `pre'
 }
if !inlist("`model'", "sdm") {
 local usedpd "Lag"
unab wyxs: w1y_`yvar'
local SPXvar `pre' `wyxs'
 }
}

 if "`coll'"=="" {
qui _rmcoll `SPXvar' , `noconstant' `coll' forcedrop
local SPXvar "`r(varlist)'"
 }
local kx : word count `SPXvar'
if inlist("`run'", "xtdhp", "xtabond", "xtdpdsys") {
local kx=`kx'+1
 }
if "`noconstant'"!="" {
qui mkmat `SPXvar' , matrix(`X')
scalar `kb'=`kx'
qui mean `SPXvar'
 }
 else {
qui mkmat `SPXvar' `X0' , matrix(`X')
scalar `kb'=`kx'+1
qui mean `SPXvar' `X0'
 }
scalar `DF'=`N'-`kx'-`NC'
matrix `Xb'=e(b)
qui mean `yvar'
matrix `Yb'=e(b)'
ereturn scalar df_m=`kx'
qui gen `Wi'=1
qui gen `weit' = 1
mkmat `Wi' , matrix(`Wi')
scalar `llf'=.
matrix `In'=I(`N')
qui xtset `idv' `itv'
if inlist("`run'", "xtdpd") {
di as txt "{bf:{err:* Spatial {cmd:`usedpd'} Arellano-Bond (1991) Linear Dynamic Panel Data Regression}}"
qui xtdpd `yvar' `SPXvar' , `noconstant' `vce' `coll' `robust' `twostep' dgmmiv(`dgmmiv')
matrix `Beta'=e(b)
matrix `Beta'=`Beta'[1,1..`kb']'
matrix `E'=`Y'-`X'*`Beta'
matrix `Sig2'=`E''*`E'/`DF'
matrix `Cov'= e(V)
matrix `Cov' = `Cov'[1..`kb', 1..`kb']
scalar `llf'=e(ll)
 }
if inlist("`run'", "xtabond", "xtdpdsys", "xtdhp") {
preserve
ereturn scalar kb=`kb'
ereturn scalar kx=`kx'
ereturn scalar DF=`DF'
ereturn scalar Nn=`N'
ereturn scalar NC=`NC'
ereturn scalar NT=`NT'
qui xtset `idv' `itv'

if inlist("`run'", "xtdhp") {
di as txt "{bf:{err:* Spatial {cmd:`usedpd'} Han-Philips Linear Dynamic Panel Data Regression}}"
qui spdpds `yvar' `SPXvar' , nc(`nc') id(`idv') `fe' `re' `be' `noconstant'
matrix `Beta'=e(b)
matrix `Beta'=`Beta'[1,1..`kb']'
matrix `Cov'= e(V)
matrix `Cov' = `Cov'[1..`kb', 1..`kb']
tempvar  Yh_MLx Ue_MLx
qui svmat Yh_MLx , name(`Yh_MLx')
qui svmat Ue_MLx , name(`Ue_MLx')
rename `Yh_MLx'1 `Yh_MLx'
rename `Ue_MLx'1 `Ue_MLx'
local kx=e(kxd)+1
local kb=e(kbd)+1
 }
if inlist("`run'", "xtabond") {
di as txt "{bf:{err:* Spatial {cmd:`usedpd'} Arellano-Bond Linear Dynamic Panel Data Regression}}"
qui xtabond `yvar' `SPXvar' , inst(`SPXvar') lag(1) `noconstant' ///
 `vce' `level' `twostep' diff(`diff') endog(`endog') pre(`pre')
 }
if inlist("`run'", "xtdpdsys") {
di as txt "{bf:{err:* Spatial {cmd:`usedpd'} Arellano-Bover/Blundell-Bond (1995, 1998)}}"
di as txt "{bf:{err:* System Linear Dynamic Panel Data Regression}}"
qui xtdpdsys `yvar' `SPXvar' , inst(`SPXvar') lag(1) `noconstant' ///
 `vce' `level' `twostep' diff(`diff') endog(`endog') pre(`pre')
 }
if inlist("`run'", "xtabond", "xtdpdsys") {
scalar `dfab'=e(zrank)-e(rank)
scalar `lmiab'=e(sargan)
scalar `lmiabp'=chi2tail(`dfab', abs(`lmiab'))
scalar `sigox'=sqrt(e(sig2))
matrix `Beta'=e(b)
matrix `Beta'=`Beta'[1,1..`kb']'
matrix `Cov'= e(V)
matrix `Cov' = `Cov'[1..`kb', 1..`kb']
tempname Yh_MLx Ue_MLx
tempvar  Yh_MLx Ue_MLx
qui predict `Yh_MLx' , xb
qui predict `Ue_MLx' , e
scalar `llf'=e(ll)
 }
qui gen `E'=`yvar'-`Yh_MLx'
qui mkmat `E' , matrix(Ext)
qui drop if `E' == .
qui mkmat `E' , matrix(`E')
matrix `Sig2'=`E''*`E'/`DF'
scalar `Sig21'=`Sig2'[1,1]
scalar `sigox'=sqrt(`Sig21')
qui mkmat `yvar' , matrix(`Y')
qui tsset `Time'
tempvar L_yvar
qui gen `L_yvar'=L.`yvar'
qui replace `L_yvar'=0 if `L_yvar'==.
if "`noconstant'"!="" {
qui mkmat `L_yvar' `SPXvar' , matrix(`X')
 }
 else {
qui mkmat `L_yvar' `SPXvar' `X0' , matrix(`X')
 }
matrix `In' = I(`N'-`NC')
matrix WMB=_WB#I(`NT'-1)
tempvar dcs
qui tabulate `idv' , generate(`dcs')
mkmat `dcs'* , matrix(`D')
matrix `P'=`D'*invsym(`D''*`D')*`D''
matrix `Q'=I(`N'-`NC')-`P'
 }
matrix `Yh_ML'=`X'*`Beta'
di _dup(78) "{bf:{err:=}}"
 }
local N = _N
matrix `Yh_ML'=`X'*`Beta'
if inlist("`model'", "sar", "sdm") & inlist("`run'", "xtabond", "xtdpdsys", "xtdhp") {
tempvar Yh_ML Ue_ML
mkmat `Yh_MLx' , matrix(`Yh_ML')
mkmat `Ue_MLx' , matrix(`Ue_ML')
 }
matrix `Ue_ML'=`Q'*(`Y'-`Yh_ML')
qui svmat `Yh_ML' , name(`Yh_ML')
qui rename `Yh_ML'1 `Yh_ML'
qui svmat `Ue_ML' , name(`Ue_ML')
qui rename `Ue_ML'1 `Ue_ML'
local N=_N
matrix Yh_ML=`Yh_ML'
matrix Ue_ML=`Ue_ML'
if "`predict'"!="" | "`resid'"!="" {
mata: Yhxt= st_matrix("Yh_ML")
mata: Uext= st_matrix("Ue_ML")
 }
tempname SSEo Sigo r2bu r2bu_a r2raw r2raw_a f fp wald waldp Sig2n
tempname r2v r2v_a fv fvp r2h r2h_a fh fhp SSTm SSE1 SST11 SST21 Rho
matrix `SSE'=`Ue_ML''*`Ue_ML'
scalar `SSEo'=`SSE'[1,1]
scalar `Sig2o'=`SSEo'/`DF'
scalar `Sig2n'=`SSEo'/`N'
scalar `Sigo'=sqrt(`Sig2o')
qui summ `Yh_ML'
local NUM=r(Var)
qui summ `yvar'
local DEN=r(Var)
scalar `r2v'=`NUM'/`DEN'
scalar `r2v_a'=1-((1-`r2v')*(`N'-1)/`DF')
scalar `fv'=`r2v'/(1-`r2v')*(`N'-`kb')/(`kx')
scalar `fvp'=Ftail(`kx', `DF', `fv')
qui correlate `Yh_ML' `yvar'
scalar `r2h'=r(rho)*r(rho)
scalar `r2h_a'=1-((1-`r2h')*(`N'-1)/`DF')
scalar `fh'=`r2h'/(1-`r2h')*(`N'-`kb')/(`kx')
scalar `fhp'=Ftail(`kx', `DF', `fh')
qui summ `yvar'
local Yb=r(mean)
qui gen `YYm'=(`yvar'-`Yb')^2
qui summ `YYm'
qui scalar `SSTm' = r(sum)
qui gen `YYv'=(`yvar')^2
qui summ `YYv'
local SSTv = r(sum)
qui summ `weit'
qui gen `Wi1'=sqrt(`weit'/r(mean))
mkmat `Wi1' , matrix(`Wi1')
matrix `P' =diag(`Wi1')
qui gen `Wio'=(`Wi1')
mkmat `Wio' , matrix(`Wio')
matrix `Wio'=diag(`Wio')
matrix `Pm' =`Wio'
matrix `IPhi'=`P''*`P'
matrix `Phi'=invsym(`P''*`P')
matrix `J'= J(`N',1,1)
matrix `D'=(`J'*`J''*`IPhi')/`N'
matrix `SSE'=`Ue_ML''*`IPhi'*`Ue_ML'
matrix `SST1'=(`Y'-`D'*`Y')'*`IPhi'*(`Y'-`D'*`Y')
matrix `SST2'=(`Y''*`Y')
scalar `SSE1'=`SSE'[1,1]
scalar `SST11'=`SST1'[1,1]
scalar `SST21'=`SST2'[1,1]
scalar `r2bu'=1-`SSE1'/`SST11'
 if `r2bu'< 0 {
scalar `r2bu'=`r2h'
 }
scalar `r2bu_a'=1-((1-`r2bu')*(`N'-1)/`DF')
scalar `r2raw'=1-`SSE1'/`SST21'
scalar `r2raw_a'=1-((1-`r2raw')*(`N'-1)/`DF')
scalar `f'=`r2bu'/(1-`r2bu')*(`N'-`kb')/`kx'
scalar `fp'= Ftail(`kx', `DF', `f')
scalar `wald'=`f'*`kx'
scalar `waldp'=chi2tail(`kx', abs(`wald'))
if `llf' == . {
scalar `llf'=-(`N'/2)*log(2*_pi*`Sig2n')-(`N'/2)
 }
local Nof =`N'
local Dof =`DF'
matrix `B'=`Beta''
if !inlist("`run'", "xtabond", "xtdpdsys", "xtdhp") {
if "`noconstant'"!="" {
matrix colnames `Cov' = `SPXvar'
matrix rownames `Cov' = `SPXvar'
matrix colnames `B'   = `SPXvar'
 }
 else {
matrix colnames `Cov' = `SPXvar' _cons
matrix rownames `Cov' = `SPXvar' _cons
matrix colnames `B'   = `SPXvar' _cons
 }
 }
yxregeq `yvar' `SPXvar'
di as txt _col(3) "Sample Size" _col(21) "=" %12.0f as res `N' _col(37) "|" _col(41) as txt "Cross Sections Number" _col(65) "=" _col(73) %5.0f as res `nc'
if !inlist("`run'", "xtdpd") {
local lyx "L1.`yvar' "
local lyx "`lyx'"
qui test "`lyx'" `SPXvar'
scalar `Sigo'=`sigox'
 }
 else {
qui test `SPXvar'
 }
scalar `wald'=r(chi2)
scalar `f'=`wald'/r(df)
scalar `fp'= Ftail(`kx', `DF', `f')
scalar `waldp'=chi2tail(`kx', abs(`wald'))
scalar `r2bu'=(`f'*r(df))/((`f'*r(df))+(`N'-r(df)))
scalar `r2bu_a'=1-((1-`r2bu')*(`N'-1)/(`N'-r(df)))
scalar `fp'= Ftail(r(df), `DF'-r(df), `f')
scalar `waldp'=chi2tail(r(df), abs(`wald'))
di as txt _col(3) "{cmd:Wald Test}" _col(21) "=" %12.4f as res `wald' _col(37) "|" _col(41) as txt "P-Value > {cmd:Chi2}(" as res `kx' ")" _col(65) "=" %12.4f as res `waldp'
di as txt _col(3) "{cmd:F-Test}" _col(21) "=" %12.4f as res `f' _col(37) "|" _col(41) as txt "P-Value > {cmd:F}(" as res `kx' " , " `DF' ")" _col(65) "=" %12.4f as res `fp'
di as txt _col(2) "(Buse 1973) R2" _col(21) "=" %12.4f as res `r2bu' _col(37) "|" as txt _col(41) "Raw Moments R2" _col(65) "=" %12.4f as res `r2raw'
ereturn scalar r2bu =`r2bu'
ereturn scalar r2bu_a=`r2bu_a'
ereturn scalar f =`f'
ereturn scalar fp=`fp'
ereturn scalar wald =`wald'
ereturn scalar waldp=`waldp'
di as txt _col(2) "(Buse 1973) R2 Adj" _col(21) "=" %12.4f as res `r2bu_a' _col(37) "|" as txt _col(41) "Raw Moments R2 Adj" _col(65) "=" %12.4f as res `r2raw_a'
di as txt _col(3) "Root MSE (Sigma)" _col(21) "=" %12.4f as res `Sigo' as txt _col(37) "|" _col(41) "Log Likelihood Function" _col(65) "=" %12.4f as res `llf'
di _dup(78) "-"
di as txt "- {cmd:R2h}=" %7.4f as res `r2h' _col(17) as txt "{cmd:R2h Adj}=" as res %7.4f `r2h_a' as txt _col(34) "{cmd:F-Test} =" %8.2f as res `fh' _col(51) as txt "P-Value > F(" as res `kx' " , " `DF' ")" _col(72) %5.4f as res `fhp'
if `r2v'<1 {
di as txt "- {cmd:R2v}=" %7.4f as res `r2v' _col(17) as txt "{cmd:R2v Adj}=" as res %7.4f `r2v_a' as txt _col(34) "{cmd:F-Test} =" %8.2f as res `fv' _col(51) as txt "P-Value > F(" as res `kx' " , " `DF' ")" _col(72) %5.4f as res `fvp'
ereturn scalar r2v=`r2v'
ereturn scalar r2v_a=`r2v_a'
ereturn scalar fv=`fv'
ereturn scalar fvp=`fvp'
 }
ereturn scalar r2raw =`r2raw'
ereturn scalar r2raw_a=`r2raw_a'
ereturn scalar sig=`Sigo'
ereturn scalar r2h =`r2h'
ereturn scalar r2h_a=`r2h_a'
ereturn scalar fh =`fh'
ereturn scalar fhp=`fhp'
ereturn scalar kb=`kb'
ereturn scalar kx=`kx'
ereturn scalar DF=`DF'
ereturn scalar Nn=_N
ereturn scalar NC=`NC'
ereturn scalar NT=`NT'
ereturn post `B' `Cov' , dep(`yvar') obs(`Nof') dof(`Dof')
ereturn display , `level'
matrix `b'=e(b)
matrix `V'=e(V)
matrix `Bx' =`b'[1..1, 1..`kx']'

if !inlist("`model'", "sdm") & !inlist("`run'", "xtabond", "xtdpdsys", "xtdhp") {
qui test _b[w1y_`yvar'] =0
tempname rRo fgs2s rdfgs rdfgsr fgs2sp
scalar `rRo'=_b[w1y_`yvar']
scalar `fgs2s'=r(F)
scalar `rdfgs'=r(df)
scalar `rdfgsr'=r(df_r)
scalar `fgs2sp'=r(p)
di as txt _col(3) "Rho Value  =" %8.4f as res `rRo' _col(29) as txt "F Test =" %10.3f as res `fgs2s' as txt _col(50) "P-Value > F(" `rdfgs' ", " `rdfgsr' ")" _col(73) %5.4f as res `fgs2sp'
di _dup(78) "-"
 }
if !inlist("`model'", "sdm") & inlist("`run'", "xtabond", "xtdpdsys", "xtdhp") {
qui test _b[w1y_`yvar'] =0
tempname rRo fgs2s rdfgs rdfgsr fgs2sp
scalar `rRo'=_b[w1y_`yvar']
scalar `fgs2s'=r(F)
scalar `rdfgs'=r(df)
scalar `rdfgsr'=r(df_r)
scalar `fgs2sp'=r(p)
di as txt _col(3) "Rho Value  =" %8.4f as res `rRo' _col(30) as txt "Chi2 Test =" %10.3f as res `fgs2s' as txt _col(54) "P-Value > Chi2(1)" _col(73) %5.4f as res `fgs2sp'
di _dup(78) "-"
 }
if inlist("`run'", "xtabond", "xtdpdsys") {
di as txt "{bf:{err:* Over Identification Restrictions Test}}"
di as txt _col(3) "{bf:Ho: Over Identification Restrictions are Valid}"
di as txt "- Sargan Over Identification LM Test   =" _col(37) as res %10.3f `lmiab' _col(54) as txt "P-Value > Chi2(" `dfab' ")" _col(73) as res %5.4f `lmiabp'
di _dup(78) "-"
 }

if "`diag'"!= "" {
di
di _dup(78) "{bf:{err:=}}"
di as txt "{bf:{err:* Panel Model Selection Diagnostic Criteria}}"
di _dup(78) "{bf:{err:=}}"
scalar `kbm'=`kb'
if "`re'"!= "" | "`fe'"!= "" {
scalar `kbm'=`kb'+3
 }
ereturn scalar aic=`Sig2n'*exp(2*`kbm'/`N')
ereturn scalar laic=ln(`Sig2n')+2*`kbm'/`N'
ereturn scalar fpe=`Sig2o'*(1+`kbm'/`N')
ereturn scalar sc=`Sig2n'*`N'^(`kbm'/`N')
ereturn scalar lsc=ln(`Sig2n')+`kbm'*ln(`N')/`N'
ereturn scalar hq=`Sig2n'*ln(`N')^(2*`kbm'/`N')
ereturn scalar rice=`Sig2n'/(1-2*`kbm'/`N')
ereturn scalar shibata=`Sig2n'*(`N'+2*`kbm')/`N'
ereturn scalar gcv=`Sig2n'*(1-`kbm'/`N')^(-2)
ereturn scalar llf = `llf'
di as txt "- Log Likelihood Function" _col(45) "LLF" _col(60) "=" %12.4f `e(llf)'
di _dup(75) "-"
di as txt "- Akaike Information Criterion" _col(45) "(1974) AIC" _col(60) "=" %12.4f `e(aic)'
di as txt "- Akaike Information Criterion" _col(45) "(1973) Log AIC" _col(60) "=" %12.4f `e(laic)'
di _dup(75) "-"
di as txt "- Schwarz Criterion" _col(45) "(1978) SC" _col(60) "=" %12.4f `e(sc)'
di as txt "- Schwarz Criterion" _col(45) "(1978) Log SC" _col(60) "=" %12.4f `e(lsc)'
di _dup(75) "-"
di as txt "- Amemiya Prediction Criterion" _col(45) "(1969) FPE" _col(60) "=" %12.4f `e(fpe)'
di as txt "- Hannan-Quinn Criterion" _col(45) "(1979) HQ" _col(60) "=" %12.4f `e(hq)'
di as txt "- Rice Criterion" _col(45) "(1984) Rice" _col(60) "=" %12.4f `e(rice)'
di as txt "- Shibata Criterion" _col(45) "(1981) Shibata" _col(60) "=" %12.4f `e(shibata)'
di as txt "- Craven-Wahba Generalized Cross Validation" _col(45) "(1979) GCV" _col(60) "=" %12.4f `e(gcv)'
di _dup(78) "-"
 }
mkmat `X0' , matrix(`X0')
if "`lmspac'"!= "" {
tempname B0 B1 B2 b2k B3 B4 chi21 chi22 DEN DIM E EI Ein Esp eWe WXb IN
tempname I m1k m2k m3k m4k MEAN NUM NUM1 NUM2 NUM3 RJ wmat xAx xAx2 wWw1 xBx
tempname S0 S1 S2 sd SEI SG0 SG1 TRa1 TRa2 trb TRw2 VI wi wj wMw wMw1 xMx
tempname WZ0 Xk NUM Zk m2 m4 b2 M eWe1 wWw2 zWz eWy eWy1 CPX SUM DFr
tempvar WZ0 Vm2 Vm4
matrix `wmat'=_WB#I(`NT')
if inlist("`run'", "xtabond", "xtdpdsys", "xtdhp") {
matrix `wmat'=_WB#I(`NT'-1)
 }
scalar `DFr'=`N'-`kb'
scalar `S1'=0
qui forvalue i = 1/`N' {
qui forvalue j = 1/`N' {
scalar `S1'=`S1'+(`wmat'[`i',`j']+`wmat'[`j',`i'])^2
local j=`j'+1
 }
 }
matrix `zWz'=`X0''*`wmat'*`X0'
scalar `S0'=`zWz'[1,1]
scalar `SG0'=`S0'*2
matrix `WZ0' =`wmat'*`X0'
qui svmat `WZ0' , name(`WZ0')
qui rename `WZ0'1 `WZ0'
qui replace `WZ0'=(`WZ0'+`WZ0')^2
qui summ `WZ0'
scalar `SG1'=r(sum)
matrix `E'=`Ue_ML'
matrix `eWe'=`E''*`wmat'*`E'
scalar `eWe1'=`eWe'[1,1]
matrix `CPX'=`X''*`X'
matrix `A'=inv(`CPX')
matrix `xAx'=`A'*`X''*`wmat'*`X'
scalar `TRa1'=trace(`xAx')
matrix `xAx2'=`xAx'*`xAx'
scalar `TRa2'=trace(`xAx2')
matrix `wWw1'=(`wmat'+`wmat'')*(`wmat'+`wmat'')
matrix `B'=inv(`CPX')
matrix `xBx'=`B'*`X''*`wWw1'*`X'
scalar `trb'=trace(`xBx')
scalar `VI'=(`N'^2/(`N'^2*`DFr'*(2+`DFr')))*((`S1'/2)+2*`TRa2'-`trb'-2*`TRa1'^2/`DFr')
scalar `SEI'=sqrt(`VI')
scalar `I'=(`N'/`S0')*`eWe1'/`SSEo'
scalar `EI'=-(`N'*`TRa1')/(`DFr'*`N')
ereturn scalar mi1=(`I'-`EI')/`SEI'
ereturn scalar mi1p=2*(1-normal(abs(e(mi1))))
 matrix `wWw2'=`wmat''*`wmat'+`wmat'*`wmat'
scalar `TRw2'=trace(`wWw2')
 matrix `WY'=`wmat'*`Y'
 matrix `eWy'=`E''*`WY'
scalar `eWy1'=`eWy'[1,1]
 matrix `WXb'=`wmat'*`X'*`Beta'
 matrix `IN'=I(`N')
 matrix `M'=inv(`CPX')
 matrix `xMx'=`IN'-`X'*`M'*`X''
 matrix `wMw'=`WXb''*`xMx'*`WXb'
scalar `wMw1'=`wMw'[1,1]
scalar `RJ'=1/(`TRw2'+`wMw1'/`Sig2o')
ereturn scalar lmerr=((`eWe1'/`Sig2o')^2)/`TRw2'
ereturn scalar lmlag=((`eWy1'/`Sig2o')^2)/(`TRw2'+`wMw1'/`Sig2o')
ereturn scalar lmerrr=(`eWe1'/`Sig2o'-`TRw2'*`RJ'*(`eWy1'/`Sig2o'))^2/(`TRw2'-`TRw2' *`TRw2'*`RJ')
ereturn scalar lmlagr=(`eWy1'/`Sig2o'-`eWe1'/`Sig2o')^2/((1/`RJ')-`TRw2')
ereturn scalar lmsac1=e(lmerr)+e(lmlagr)
ereturn scalar lmsac2=e(lmlag)+e(lmerrr)
ereturn scalar lmerrp=chi2tail(1, abs(e(lmerr)))
ereturn scalar lmerrrp=chi2tail(1, abs(e(lmerrr)))
ereturn scalar lmlagp=chi2tail(1, abs(e(lmlag)))
ereturn scalar lmlagrp=chi2tail(1, abs(e(lmlagr)))
ereturn scalar lmsac1p=chi2tail(2, abs(e(lmsac1)))
ereturn scalar lmsac2p=chi2tail(2, abs(e(lmsac2)))
scalar `DIM'=rowsof(`wmat')
 matrix `m2'=J(1,1,0)
 matrix `m4'=J(1,1,0)
 matrix `b2'=J(1,1,0)
 matrix `M'=J(1,4,0)
local j=1
 while `j'<=4 {
 tempvar EQsq
qui gen `EQsq' = `Ue_ML'^`j'
qui summ `EQsq' , mean
 matrix `M'[1,`j'] = r(sum)
local j=`j'+1
 }
qui summ `Ue_ML' , mean
scalar `MEAN'=r(mean)
qui replace `Ue_ML'=`Ue_ML'-`MEAN'
qui gen `Vm2'=`Ue_ML'^2
qui summ `Vm2' , mean
 matrix `m2'[1,1]=r(mean)
scalar `m2k'=r(mean)
qui gen `Vm4'=`Ue_ML'^4
qui summ `Vm4' , mean
 matrix `m4'[1,1]=r(mean)
scalar `m4k'=r(mean)
 matrix `b2'[1,1]=`m4k'/(`m2k'^2)
 mkmat `Ue_ML' , matrix(`Ue_ML')
scalar `S0'=0
scalar `S1'=0
scalar `S2'=0
local i=1
 while `i'<=`N' {
scalar `wi'=0
scalar `wj'=0
local j=1
 while `j'<=`N' {
scalar `S0'=`S0'+`wmat'[`i',`j']
scalar `S1'=`S1'+(`wmat'[`i',`j']+`wmat'[`j',`i'])^2
scalar `wi'=`wi'+`wmat'[`i',`j']
scalar `wj'=`wj'+`wmat'[`j',`i']
local j=`j'+1
 }
scalar `S2'=`S2'+(`wi'+`wj')^2
local i=`i'+1
 }
scalar `S1'=`S1'/2
scalar `m2k'=`m2'[1,1]
scalar `b2k'=`b2'[1,1]
matrix `Zk'=`Ue_ML'[1...,1]
matrix `Zk'=`Zk''*`wmat'*`Zk'
scalar `Ein'=-1/(`N'-1)
scalar `NUM1'=`N'*((`N'^2-3*`N'+3)*`S1'-(`N'*`S2')+(3*`S0'^2))
scalar `NUM2'=`b2k'*((`N'^2-`N')*`S1'-(2*`N'*`S2')+(6*`S0'^2))
scalar `DEN'=(`N'-1)*(`N'-2)*(`N'-3)*(`S0'^2)
scalar `sd'=sqrt((`NUM1'-`NUM2')/`DEN'-(1/(`N'-1))^2)
ereturn scalar mig=`Zk'[1,1]/(`S0'*`m2k')
ereturn scalar migz=(e(mig)-`Ein')/`sd'
ereturn scalar migp=2*(1-normal(abs(e(migz))))
ereturn scalar mi1z=(e(mi1)-`Ein')/`sd'
scalar `m2k'=`m2'[1,1]
scalar `b2k'=`b2'[1,1]
matrix `Zk'=`Ue_ML'[1...,1]
scalar `SUM'=0
local i=1
 while `i'<=`N' {
local j=1
 while `j'<=`N' {
scalar `SUM'=`SUM'+`wmat'[`i',`j']*(`Zk'[`i',1]-`Zk'[`j',1])^2
local j=`j'+1
 }
local i=`i'+1
 }
scalar `NUM1'=(`N'-1)*`S1'*(`N'^2-3*`N'+3-(`N'-1)*`b2k')
scalar `NUM2'=(1/4)*(`N'-1)*`S2'*(`N'^2+3*`N'-6-(`N'^2-`N'+2)*`b2k')
scalar `NUM3'=(`S0'^2)*(`N'^2-3-((`N'-1)^2)*`b2k')
scalar `DEN'=(`N')*(`N'-2)*(`N'-3)*(`S0'^2)
scalar `sd'=sqrt((`NUM1'-`NUM2'+`NUM3')/`DEN')
ereturn scalar gcg=((`N'-1)*`SUM')/(2*`N'*`S0'*`m2k')
ereturn scalar gcgz=(e(gcg)-1)/`sd'
ereturn scalar gcgp=2*(1-normal(abs(e(gcgz))))
scalar `B0'=((`N'^2)-3*`N'+3)*`S1'-`N'*`S2'+3*(`S0'^2)
scalar `B1'=-(((`N'^2)-`N')*`S1'-2*`N'*`S2'+6*(`S0'^2))
scalar `B2'=-(2*`N'*`S1'-(`N'+3)*`S2'+6*(`S0'^2))
scalar `B3'=4*(`N'-1)*`S1'-2*(`N'+1)*`S2'+8*(`S0'^2)
scalar `B4'=`S1'-`S2'+(`S0'^2)
scalar `m1k'=`M'[1,1]
scalar `m2k'=`M'[1,2]
scalar `m3k'=`M'[1,3]
scalar `m4k'=`M'[1,4]
 matrix `Xk'=`Ue_ML'[1...,1]
 matrix `NUM'=`Xk''*`wmat'*`Xk'
scalar `DEN'=0
local i=1
 while `i'<=`N' {
local j=1
 while `j'<=`N' {
 if `i'!=`j' {
scalar `DEN'=`DEN'+`Xk'[`i',1]*`Xk'[`j',1]
 }
local j=`j'+1
 }
local i=`i'+1
 }
ereturn scalar gog=`NUM'[1,1]/`DEN'
scalar `Esp'=`S0'/(`N'*(`N'-1))
scalar `NUM'=(`B0'*`m2k'^2)+(`B1'*`m4k')+(`B2'*`m1k'^2*`m2k') ///
 +(`B3'*`m1k'*`m3k')+(`B4'*`m1k'^4)
scalar `DEN'=(((`m1k'^2)-`m2k')^2)*`N'*(`N'-1)*(`N'-2)*(`N'-3)
scalar `sd'=(`NUM'/`DEN')-((`Esp')^2)
ereturn scalar gogz=(e(gog)-`Esp')/sqrt(`sd')
ereturn scalar gogp=2*(1-normal(abs(e(gogz))))
scalar `chi21'=invchi2(1,0.95)
scalar `chi22'=invchi2(2,0.95)
di
di _dup(78) "{bf:{err:=}}"
di as txt "{bf:{err:*** Spatial Panel Aautocorrelation Tests}}"
di _dup(78) "{bf:{err:=}}"
di as txt _col(2) "{bf: Ho: Error has No Spatial AutoCorrelation}"
di as txt _col(2) "{bf: Ha: Error has    Spatial AutoCorrelation}"
di
di as txt "- GLOBAL Moran MI" as res _col(30) "=" %9.4f e(mig) _col(45) as txt "P-Value > Z(" %6.3f e(migz) ")" _col(67) %5.4f as res e(migp)
di as txt "- GLOBAL Geary GC" as res _col(30) "=" %9.4f e(gcg) _col(45) as txt "P-Value > Z(" %5.3f e(gcgz) ")" _col(67) %5.4f as res e(gcgp)
di as txt "- GLOBAL Getis-Ords GO" as res _col(30) "=" %9.4f e(gog) as txt _col(45) "P-Value > Z(" %5.3f e(gogz) ")" _col(67) %5.4f as res e(gogp)
di _dup(78) "-"
di as txt "- Moran MI Error Test" as res _col(30) "=" %9.4f e(mi1) _col(45) as txt "P-Value > Z(" %5.3f e(mi1z) ")" _col(67) %5.4f as res e(mi1p)
di _dup(78) "-"
di as txt "- LM Error (Burridge)" as res _col(30) "=" %9.4f e(lmerr) _col(45) as txt "P-Value > Chi2(1)" _col(67) %5.4f as res e(lmerrp)
di as txt "- LM Error (Robust)" as res _col(30) "=" %9.4f e(lmerrr) _col(45) as txt "P-Value > Chi2(1)" _col(67) %5.4f as res e(lmerrrp)
di _dup(78) "-"
di as txt _col(2) "{bf: Ho: Spatial Lagged Dependent Variable has No Spatial AutoCorrelation}"
di as txt _col(2) "{bf: Ha: Spatial Lagged Dependent Variable has    Spatial AutoCorrelation}"
di
di as txt "- LM Lag (Anselin)" as res _col(30) "=" %9.4f e(lmlag) _col(45) as txt "P-Value > Chi2(1)" _col(67) %5.4f as res e(lmlagp)
di as txt "- LM Lag (Robust)" as res _col(30) "=" %9.4f e(lmlagr) _col(45) as txt "P-Value > Chi2(1)" _col(67) %5.4f as res e(lmlagrp)
di _dup(78) "-"
di as txt _col(2) "{bf: Ho: No General Spatial AutoCorrelation}"
di as txt _col(2) "{bf: Ha:    General Spatial AutoCorrelation}"
di
di as txt "- LM SAC (LMErr+LMLag_R)" as res _col(30) "=" %9.4f e(lmsac2) _col(45) as txt "P-Value > Chi2(2)" _col(67) %5.4f as res e(lmsac2p)
di as txt "- LM SAC (LMLag+LMErr_R)" as res _col(30) "=" %9.4f e(lmsac1) _col(45) as txt "P-Value > Chi2(2)" _col(67) %5.4f as res e(lmsac1p)
di _dup(78) "-"
 }

if "`lmhet'"!= "" {
tempvar Yh Yh2 LYh2 E E2 E3 E4 LnE2 absE time LE ht DumE EDumE U2
tempname mh vh h Q LMh_cwx lmhmss1 mssdf1 lmhmss1p
tempname lmhmss2 mssdf2 lmhmss2p dfw0 lmhw01 lmhw01p lmhw02 lmhw02p dfw1 lmhw11
tempname lmhw11p lmhw12 lmhw12p dfw2 lmhw21 lmhw21p lmhw22 lmhw22p lmhharv
tempname lmhharvp lmhwald lmhwaldp lmhhp1 lmhhp1p lmhhp2 lmhhp2p lmhhp3 lmhhp3p lmhgl
tempname lmhglp lmhcw1 cwdf1 lmhcw1p lmhcw2 cwdf2 lmhcw2p lmhq lmhqp
qui tsset `Time'
matrix `SSE'=`Ue_ML''*`Ue_ML'
qui gen `U2' =`Ue_ML'^2/`Sig2n'
qui gen `Yh'=`Yh_ML'
qui gen `Yh2'=`Yh_ML'^2
qui gen `LYh2'=ln(`Yh2')
qui gen `E' =`Ue_ML'
qui gen `E2'=`Ue_ML'^2
qui gen `E3'=`Ue_ML'^3
qui gen `E4'=`Ue_ML'^4
qui gen `LnE2'=log(`E2')
qui gen `absE'=abs(`E')
qui gen `DumE'=0
qui replace `DumE'=1 if `E' >= 0
qui summ `DumE'
qui gen `EDumE'=`E'*(`DumE'-r(mean))
qui regress `EDumE' `Yh' `Yh2' , `noconstant' `vce'
scalar `lmhmss1'=e(N)*e(r2)
scalar `mssdf1'=e(df_m)
scalar `lmhmss1p'=chi2tail(`mssdf1', abs(`lmhmss1'))
qui regress `EDumE' `SPXvar' , `noconstant' `vce'
scalar `lmhmss2'=e(N)*e(r2)
scalar `mssdf2'=e(df_m)
scalar `lmhmss2p'=chi2tail(`mssdf2', abs(`lmhmss2'))
local kx =`kx'
qui forvalue j=1/`kx' {
qui foreach i of local SPXvar {
tempvar VN
gen `VN'`j'=`i'
qui cap drop `XQX_'`i'
 gen `XQX_'`i' = `VN'`j'*`VN'`j'
 }
 }
qui regress `E2' `SPXvar' , `noconstant'
scalar `dfw0'=e(df_m)
scalar `lmhw01'=e(r2)*e(N)
scalar `lmhw01p'=chi2tail(`dfw0' , abs(`lmhw01'))
scalar `lmhw02'=e(mss)/(2*`Sig2n'^2)
scalar `lmhw02p'=chi2tail(`dfw0' , abs(`lmhw02'))
qui regress `E2' `SPXvar' `XQX_'* , `noconstant'
scalar `dfw1'=e(df_m)
scalar `lmhw11'=e(r2)*e(N)
scalar `lmhw11p'=chi2tail(`dfw1' , abs(`lmhw11'))
scalar `lmhw12'=e(mss)/(2*`Sig2n'^2)
scalar `lmhw12p'=chi2tail(`dfw1' , abs(`lmhw12'))
qui cap drop `VN'*
qui cap drop `XQX_'*
mkmat `SPXvar' , matrix(`VN')
qui svmat `VN' , names(`VN')
unab WWVN: `VN'*
local ZWvar `WWVN'
qui foreach i of local ZWvar {
qui foreach j of local ZWvar {
if `i' >= `j' {
qui cap drop `XQX_'`i'`j'
qui gen `XQX_'`i'`j' = `i'*`j'
 }
 }
 }
qui cap matrix drop `VN'
qui cap drop `VN'*
qui regress `E2' `SPXvar' `XQX_'* , `noconstant'
scalar `dfw2'=e(df_m)
scalar `lmhw21'=e(r2)*e(N)
scalar `lmhw21p'=chi2tail(`dfw2' , abs(`lmhw21'))
scalar `lmhw22'=e(mss)/(2*`Sig2n'^2)
scalar `lmhw22p'=chi2tail(`dfw2' , abs(`lmhw22'))
qui regress `LnE2' `SPXvar' , `noconstant'
scalar `lmhharv'=e(mss)/4.9348
scalar `lmhharvp'= chi2tail(2, abs(`lmhharv'))
qui regress `LnE2' `SPXvar' , `noconstant'
scalar `lmhwald'=e(mss)/2
scalar `lmhwaldp'=chi2tail(1, abs(`lmhwald'))
qui regress `E2' `Yh' , `noconstant'
scalar `lmhhp1'=e(N)*e(r2)
scalar `lmhhp1p'=chi2tail(1, abs(`lmhhp1'))
qui regress `E2' `Yh2' , `noconstant'
scalar `lmhhp2'=e(N)*e(r2)
scalar `lmhhp2p'=chi2tail(1, abs(`lmhhp2'))
qui regress `E2' `LYh2' , `noconstant'
scalar `lmhhp3'=e(N)*e(r2)
scalar `lmhhp3p'= chi2tail(1, abs(`lmhhp3'))
qui regress `absE' `SPXvar' , `noconstant'
scalar `lmhgl'=e(mss)/((1-2/_pi)*`Sig2n')
scalar `lmhglp'=chi2tail(2, abs(`lmhgl'))
qui regress `U2' `Yh' , `noconstant'
scalar `lmhcw1'= e(mss)/2
scalar `cwdf1' = e(df_m)
scalar `lmhcw1p'=chi2tail(`cwdf1', abs(`lmhcw1'))
qui regress `U2' `SPXvar' , `noconstant'
scalar `lmhcw2'=e(mss)/2
scalar `cwdf2' =e(df_m)
scalar `lmhcw2p'=chi2tail(`cwdf2', abs(`lmhcw2'))
di
di _dup(78) "{bf:{err:=}}"
di as txt "{bf:{err:*** Panel Heteroscedasticity Tests}}"
di _dup(78) "{bf:{err:=}}"
di as txt _col(2) "{bf: Ho: Panel Homoscedasticity - Ha: Panel Heteroscedasticity}"
di
tempvar Time
tempname lmharch lmharchp lmhbg lmhbgp
qui gen `Time'=_n
qui tsset `Time'
qui cap drop `LE'*
qui gen `LE'1=L1.`E2'
qui regress `E2' `LE'*
scalar `lmharch'=e(r2)*e(N)
scalar `lmharchp'= chi2tail(1, abs(`lmharch'))
qui regress `E2' L1.`E2' `SPXvar' , `noconstant'
scalar `lmhbg'=e(r2)*e(N)
scalar `lmhbgp'=chi2tail(1, abs(`lmhbg'))
di as txt "- Engle LM ARCH Test AR(1): E2 = E2_1" _col(41) "=" as res %9.4f `lmharch' _col(54) as txt "P-Value > Chi2(1)" _col(73) as res %5.4f `lmharchp'
di _dup(78) "-"
di as txt "- Hall-Pagan LM Test:   E2 = Yh" _col(41) "=" as res %9.4f `lmhhp1' _col(54) as txt "P-Value > Chi2(1)" _col(73) as res %5.4f `lmhhp1p'
di as txt "- Hall-Pagan LM Test:   E2 = Yh2" _col(41) "=" as res %9.4f `lmhhp2' _col(54) as txt "P-Value > Chi2(1)" _col(73) as res %5.4f `lmhhp2p'
di as txt "- Hall-Pagan LM Test:   E2 = LYh2" _col(41) "=" as res %9.4f `lmhhp3' _col(54) as txt "P-Value > Chi2(1)" _col(73) as res %5.4f `lmhhp3p'
di _dup(78) "-"
di as txt "- Harvey LM Test:    LogE2 = X" _col(41) "=" as res %9.4f `lmhharv' _col(54) as txt "P-Value > Chi2(2)" _col(73) as res %5.4f `lmhharvp'
di as txt "- Wald Test:         LogE2 = X " _col(41) "=" as res %9.4f `lmhwald' _col(54) as txt "P-Value > Chi2(1)" _col(73) as res %5.4f `lmhwaldp'
di as txt "- Glejser LM Test:     |E| = X" _col(41) "=" as res %9.4f `lmhgl' _col(54) as txt "P-Value > Chi2(2)" _col(73) as res %5.4f `lmhglp'
di as txt "- Breusch-Godfrey Test:  E = E_1 X" _col(41) "=" as res %9.4f `lmhbg' _col(54) as txt "P-Value > Chi2(1)" _col(73) as res %5.4f `lmhbgp'
if !inlist("`run'", "xtabond", "xtdpdsys", "xtdhp") {
di _dup(78) "-"
di as txt "- Machado-Santos-Silva Test: Ev=Yh Yh2" _col(41) "=" as res %9.4f `lmhmss1' _col(54) as txt "P-Value > Chi2(" `mssdf1' ")" _col(73) as res %5.4f `lmhmss1p'
di as txt "- Machado-Santos-Silva Test: Ev=X" _col(41) "=" as res %9.4f `lmhmss2' _col(54) as txt "P-Value > Chi2(" `mssdf2' ")" _col(73) as res %5.4f `lmhmss2p'
ereturn scalar lmhmss2p= `lmhmss2p'
ereturn scalar lmhmss2= `lmhmss2p'
ereturn scalar lmhmss1p= `lmhmss1p'
ereturn scalar lmhmss1= `lmhmss1'
 }
di _dup(78) "-"
di as txt "- White Test - Koenker(R2): E2 = X" _col(41) "=" as res %9.4f `lmhw01' _col(54) as txt "P-Value > Chi2(" `dfw0' ")" _col(73) as res %5.4f `lmhw01p'
di as txt "- White Test - B-P-G (SSR): E2 = X" _col(41) "=" as res %9.4f `lmhw02' _col(54) as txt "P-Value > Chi2(" `dfw0' ")" _col(73) as res %5.4f `lmhw02p'
di _dup(78) "-"
di as txt "- White Test - Koenker(R2): E2 = X X2" _col(41) "=" as res %9.4f `lmhw11' _col(54) as txt "P-Value > Chi2(" `dfw1' ")" _col(73) as res %5.4f `lmhw11p'
di as txt "- White Test - B-P-G (SSR): E2 = X X2" _col(41) "=" as res %9.4f `lmhw12' _col(54) as txt "P-Value > Chi2(" `dfw1' ")" _col(73) as res %5.4f `lmhw12p'
di _dup(78) "-"
di as txt "- White Test - Koenker(R2): E2 = X X2 XX" _col(41) "=" as res %9.4f `lmhw21' _col(54) as txt "P-Value > Chi2(" `dfw2' ")" _col(73) as res %5.4f `lmhw21p'
di as txt "- White Test - B-P-G (SSR): E2 = X X2 XX" _col(41) "=" as res %9.4f `lmhw22' _col(54) as txt "P-Value > Chi2(" `dfw2' ")" _col(73) as res %5.4f `lmhw22p'
di _dup(78) "-"
di as txt "- Cook-Weisberg LM Test: E2/S2n = Yh" _col(41) "=" as res %9.4f `lmhcw1' _col(54) as txt "P-Value > Chi2(" `cwdf1' ")" _col(73) as res %5.4f `lmhcw1p'
di as txt "- Cook-Weisberg LM Test: E2/S2n = X" _col(41) "=" as res %9.4f `lmhcw2' _col(54) as txt "P-Value > Chi2(" `cwdf2' ")" _col(73) as res %5.4f `lmhcw2p'
di _dup(78) "-"
di as res "*** Single Variable Tests (E2/Sig2):"
local nx : word count `SPXvar'
tokenize `SPXvar'
local i 1
while `i' <= `nx' {
qui regress `U2' ``i''
ereturn scalar lmhcwx_`i'= e(mss)/2
ereturn scalar lmhcwxp_`i'= chi2tail(1 , abs(e(lmhcwx_`i')))
di as txt "- Cook-Weisberg LM Test: " "``i''" _col(44) "=" as res %9.4f e(lmhcwx_`i') _col(53) as txt " P-Value > Chi2(1)" _col(73) as res %5.4f e(lmhcwxp_`i')
local i =`i'+1
 }
di _dup(78) "-"
di as res "*** Single Variable Tests:"
foreach i of local SPXvar {
qui cap drop `ht'`i'
tempvar `ht'`i'
qui egen `ht'`i' = rank(`i')
qui summ `ht'`i'
scalar `mh' = r(mean)
scalar `vh' = r(Var)
qui summ `ht'`i' [aw=`E'^2] , meanonly
scalar `h' = r(mean)
ereturn scalar lmhq_`i'=(`N'^2/(2*(`N'-1)))*(`h'-`mh')^2/`vh'
ereturn scalar lmhqp_`i'= chi2tail(1, abs(e(lmhq_`i')))
di as txt "- King LM Test: " "`i'" _col(44) "=" as res %9.4f e(lmhq_`i') _col(53) as txt " P-Value > Chi2(1)" _col(73) as res %5.4f e(lmhqp_`i')
 }
di _dup(78) "-"
if !inlist("`run'", "xtabond", "xtdpdsys", "xtdhp") {
tempvar Sig2 SigLR SigLRs SigLM SigLMs SigW SigWs E E2 EE1 En cN cT Obs Egh
local idv `idv'
qui tsset `Time'
qui regress `yvar' `SPXvar' , `noconstant'
qui predict `E' , res
qui gen double `E2' = `E'^2
qui summ `E2' , meanonly
local Sig2 = r(mean)
qui gen double `SigLR' = .
qui gen double `SigLM' = .
qui gen double `SigW'  = .
local SigLRs = 0
local SigLMs = 0
local SigWs  = 0
qui levelsof `idv' , local(levels)
qui foreach l of local levels {
 summ `E2' if `idv' == `l', meanonly
 replace `SigLM'= (r(mean)/`Sig2'-1)^2 if `idv' == `l'
 replace `SigLR'= ln(r(mean))*r(N) if `idv' == `l'
 replace `SigW' = (`Sig2'/r(mean)-1)^2 if `idv' == `l'
 summ `SigLM' if `idv' == `l', meanonly
local SigLMs =`SigLMs'+ r(mean)
 summ `SigLR' if `idv' == `l', meanonly
local SigLRs = `SigLRs' + r(mean)
 summ `SigW' if `idv' == `l', meanonly
local SigWs =`SigWs'+ r(mean)
 }
local dflm= `NC'-1
local dflr= `NC'-1
local dfw = `NC'
tempname lmhglr lmhglrp lmhglm lmhglmp lmhgw lmhgwp
scalar `lmhglr'=`N'*ln(`Sig2')- `SigLRs'
scalar `lmhglrp'= chi2tail(`dflr', abs(`lmhglr'))
scalar `lmhglm'=`NT'/2*(`SigLMs')
scalar `lmhglmp'= chi2tail(`dflm', abs(`lmhglm'))
scalar `lmhgw'=`NT'/2*(`SigWs')
scalar `lmhgwp'= chi2tail(`dfw', abs(`lmhgw'))
di
di _dup(78) "{bf:{err:=}}"
di as txt "{bf:{err:* Panel Groupwise Heteroscedasticity Tests}}"
di _dup(78) "{bf:{err:=}}"
di as txt _col(2) "{bf: Ho: Panel Homoscedasticity - Ha: Panel Groupwise Heteroscedasticity}"
di
di as txt "- Lagrange Multiplier LM Test" _col(35) "=" as res %9.4f `lmhglm' as txt _col(50) "P-Value > Chi2(" `dflm' ")" _col(70) %5.4f as res `lmhglmp'
di as txt "- Likelihood Ratio LR Test" _col(35) "=" as res %9.4f `lmhglr' _col(50) as txt "P-Value > Chi2(" `dflr' ")" _col(70) %5.4f as res `lmhglrp'
di as txt "- Wald Test" as res _col(35) "=" as res %9.4f `lmhgw' _col(50) as txt "P-Value > Chi2(" `dfw' ")" _col(70) %5.4f as res `lmhgwp'
di _dup(78) "-"
ereturn scalar lmhglr=`lmhglr'
ereturn scalar lmhglrp=`lmhglrp'
ereturn scalar lmhglm=`lmhglm'
ereturn scalar lmhglmp=`lmhglmp'
ereturn scalar lmhgw=`lmhgw'
ereturn scalar lmhgwp=`lmhgwp'
 }
ereturn scalar lmhw01=`lmhw01'
ereturn scalar lmhw01p=`lmhw01p'
ereturn scalar lmhw02=`lmhw02'
ereturn scalar lmhw02p=`lmhw02p'
ereturn scalar lmhw11=`lmhw11'
ereturn scalar lmhw12=`lmhw12'
ereturn scalar lmhw11p=`lmhw11p'
ereturn scalar lmhw12p=`lmhw12p'
ereturn scalar lmhw21=`lmhw21'
ereturn scalar lmhw22=`lmhw22'
ereturn scalar lmhw21p=`lmhw21p'
ereturn scalar lmhw22p=`lmhw22p'
ereturn scalar lmhharv=`lmhharv'
ereturn scalar lmhharvp=`lmhharvp'
ereturn scalar lmhwald=`lmhwald'
ereturn scalar lmhwaldp=`lmhwaldp'
ereturn scalar lmhhp1=`lmhhp1'
ereturn scalar lmhhp1p=`lmhhp1p'
ereturn scalar lmhhp2=`lmhhp2'
ereturn scalar lmhhp2p=`lmhhp2p'
ereturn scalar lmhhp3=`lmhhp3'
ereturn scalar lmhhp3p=`lmhhp3p'
ereturn scalar lmhgl=`lmhgl'
ereturn scalar lmhglp=`lmhglp'
ereturn scalar lmhcw1=`lmhcw1'
ereturn scalar lmhcw1p=`lmhcw1p'
ereturn scalar lmhcw2=`lmhcw2'
ereturn scalar lmhcw2p=`lmhcw2p'
ereturn scalar lmharch=`lmharch'
ereturn scalar lmharchp=`lmharchp'
ereturn scalar lmhbg=`lmhbg'
ereturn scalar lmhbgp=`lmhbgp'
 }

if "`lmnorm'"!= "" {
tempvar Yh E E1 E2 E3 E4 Es U2 DE LDE LDF1 Yt U Hat
tempname Hat corr1 corr3 corr4 mpc2 mpc3 mpc4 s uinv q1 uinv2 q2 ECov ECov2 Eb Sk Ku
tempname M2 M3 M4 K2 K3 K4 Ss Kk GK sksd kusd N1 N2 EN S2N SN mean sd small A2 B0 B1
tempname B2 B3 LA Z Rn Lower Upper wsq2 ve lve Skn gn an cn kn vz Ku1 Kun n1 n2 n3 eb2
tempname R2W vb2 svb2 k1 a devsq m2 sdev m3 m4 sqrtb1 b2 g1 g2 stm3b2 S1 S2 S3 S4
tempname b2minus3 sm sms y k2 wk delta alpha yalpha pc1 pc2 pc3 pc4 pcb1 pcb2 sqb1p b2p
qui tsset `Time'
qui gen `Yh'=`Yh_ML'
qui gen `E' =`Ue_ML'
qui gen `E2'=`E'*`E'
matrix `Hat'=vecdiag(`X'*invsym(`X''*`X')*`X'')'
qui svmat `Hat' , name(`Hat')
rename `Hat'1 `Hat'
qui regress `E2' `Hat'
scalar `R2W'=e(r2)
qui summ `E' , det
scalar `Eb'=r(mean)
scalar `Sk'=r(skewness)
scalar `Ku'=r(kurtosis)
qui forvalue i = 1/4 {
qui gen `E'`i'=(`E'-`Eb')^`i'
qui summ `E'`i'
scalar `S`i''=r(mean)
scalar `pc`i''=r(sum)
 }
mkmat `E'1 `E'2 `E'3 `E'4 in 1/`N' , matrix(`ECov')
scalar `M2'=`S2'-`S1'^2
scalar `M3'=`S3'-3*`S1'*`S2'+`S1'^2
scalar `M4'=`S4'-4*`S1'*`S3'+6*`S1'^2*`S2'-3*`S1'^4
scalar `K2'=`N'*`M2'/(`N'-1)
scalar `K3'=`N'^2*`M3'/((`N'-1)*(`N'-2))
scalar `K4'=`N'^2*((`N'+1)*`M4'-3*(`N'-1)*`M2'^2)/((`N'-1)*(`N'-2)*(`N'-3))
scalar `Ss'=`K3'/(`K2'^1.5)
scalar `Kk'=`K4'/(`K2'^2)
scalar `GK'= ((`Sk'^2/6)+((`Ku'-3)^2/24))
ereturn scalar lmnw=`N'*(`R2W'+`GK')
ereturn scalar lmnwp= chi2tail(2, abs(e(lmnw)))
ereturn scalar lmnjb=`N'*((`Sk'^2/6)+((`Ku'-3)^2/24))
ereturn scalar lmnjbp= chi2tail(2, abs(e(lmnjb)))
scalar `sksd'=sqrt(6*`N'*(`N'-1)/((`N'-2)*(`N'+1)*(`N'+3)))
scalar `kusd'=sqrt(24*`N'*(`N'-1)^2/((`N'-3)*(`N'-2)*(`N'+3)*(`N'+5)))
qui gen `DE'=1 if `E'>0
qui replace `DE'=0 if `E' <= 0
qui count if `DE'>0
scalar `N1'=r(N)
scalar `N2'=`N'-r(N)
scalar `EN'=(2*`N1'*`N2')/(`N1'+`N2')+1
scalar `S2N'=(2*`N1'*`N2'*(2*`N1'*`N2'-`N1'-`N2'))/((`N1'+`N2')^2*(`N1'+`N2'-1))
scalar `SN'=sqrt((2*`N1'*`N2'*(2*`N1'*`N2'-`N1'-`N2'))/((`N1'+`N2')^2*(`N1'+`N2'-1)))
qui gen `LDE'= `DE'[_n-1]
qui replace `LDE'=0 if `DE'==1 in 1
qui gen `LDF1'= 1 if `DE' != `LDE'
qui replace `LDF1'= 1 if `DE' == `LDE' in 1
qui replace `LDF1'= 0 if `LDF1' == .
qui count if `LDF1'>0
scalar `Rn'=r(N)
ereturn scalar lmng=(`Rn'-`EN')/`SN'
ereturn scalar lmngp= chi2tail(2, abs(e(lmng)))
scalar `Lower'=`EN'-1.96*`SN'
scalar `Upper'=`EN'+1.96*`SN'
qui summ `E'
scalar `mean'=r(mean)
scalar `sd'=r(sd)
scalar `small'= 1e-20
qui gen `Es' =`E'
qui sort `Es'
qui replace `Es'=normal((`Es'-`mean')/`sd')
qui gen `Yt'=`Es'*(1-`Es'[`N'-_n+1])
qui replace `Yt'=`small' if `Yt' < =0
qui replace `Yt'=sum((2*_n-1)*ln(`Yt'))
scalar `A2'=-`N'-`Yt'[`N']/`N'
scalar `A2'=`A2'*(1+(0.75+2.25/`N')/`N')
scalar `B0'=2.25247+0.000317*exp(29.5/`N')
scalar `B1'=2.16872+0.00243*exp(27.7/`N')
scalar `B2'=0.19135+0.00255*exp(28.3/`N')
scalar `B3'=0.110978+0.00001624*exp(39.04/`N')+0.00476*exp(21.37/`N')
scalar `LA'=ln(`A2')
ereturn scalar lmnad=(`A2')
scalar `Z'=abs(`B0'+`LA'*(`B1'+`LA'*(`B2'+`LA'*`B3')))
ereturn scalar lmnadp= normal(abs(-`Z'))
scalar `wsq2'=-1+sqrt(2*((3*(`N'^2+27*`N'-70)/((`N'-2)*(`N'+5))*((`N'+1)/(`N'+7))*((`N'+3)/(`N'+9)))-1))
scalar `ve'=`Sk'*sqrt((`N'+1)*(`N'+3)/(6*(`N'-2)))/sqrt(2/(`wsq2'-1))
scalar `lve'=ln(`ve'+(`ve'^2+1)^0.5)
scalar `Skn'=`lve'/sqrt(ln(sqrt(`wsq2')))
scalar `gn'=((`N'+5)/(`N'-3))*((`N'+7)/(`N'+1))/(6*(`N'^2+15*`N'-4))
scalar `an'=(`N'-2)*(`N'^2+27*`N'-70)*`gn'
scalar `cn'=(`N'-7)*(`N'^2+2*`N'-5)*`gn'
scalar `kn'=(`N'*`N'^2+37*`N'^2+11*`N'-313)*`gn'/2
scalar `vz'= `cn'*`Sk'^2 +`an'
scalar `Ku1'=(`Ku'-1-`Sk'^2)*`kn'*2
scalar `Kun'=(((`Ku1'/(2*`vz'))^(1/3))-1+1/(9*`vz'))*sqrt(9*`vz')
ereturn scalar lmndh =`Skn'^2 + `Kun'^2
ereturn scalar lmndhp= chi2tail(2, abs(e(lmndh)))
scalar `n1'=sqrt(`N'*(`N'-1))/(`N'-2)
scalar `n2'=3*(`N'-1)/(`N'+1)
scalar `n3'=(`N'^2-1)/((`N'-2)*(`N'-3))
scalar `eb2'=3*(`N'-1)/(`N'+1)
scalar `vb2'=24*`N'*(`N'-2)*(`N'-3)/(((`N'+1)^2)*(`N'+3)*(`N'+5))
scalar `svb2'=sqrt(`vb2')
scalar `k1'=6*(`N'*`N'-5*`N'+2)/((`N'+7)*(`N'+9))*sqrt(6*(`N'+3)*(`N'+5)/(`N'*(`N'-2)*(`N'-3)))
scalar `a'=6+(8/`k1')*(2/`k1'+sqrt(1+4/(`k1'^2)))
scalar `devsq'=`pc1'*`pc1'/`N'
scalar `m2'=(`pc2'-`devsq')/`N'
scalar `sdev'=sqrt(`m2')
scalar `m3'=`pc3'/`N'
scalar `m4'=`pc4'/`N'
scalar `sqrtb1'=`m3'/(`m2'*`sdev')
scalar `b2'=`m4'/`m2'^2
scalar `g1'=`n1'*`sqrtb1'
scalar `g2'=(`b2'-`n2')*`n3'
scalar `stm3b2'=(`b2'-`eb2')/`svb2'
ereturn scalar lmnkz=(1-2/(9*`a')-((1-2/`a')/(1+`stm3b2'*sqrt(2/(`a'-4))))^(1/3))/sqrt(2/(9*`a'))
ereturn scalar lmnkzp=2*(1-normal(abs(e(lmnkz))))
scalar `b2minus3'=`b2'-3
matrix `ECov2'=`ECov''*`ECov'
scalar `sm'=`ECov2'[1,1]
scalar `sms'=1/sqrt(`sm')
matrix `corr1'=`sms'*`ECov2'*`sms'
matrix `corr3'=`corr1'[1,1]^3
matrix `corr4'=`corr1'[1,1]^4
scalar `y'=`sqrtb1'*sqrt((`N'+1)*(`N'+3)/(6*(`N'-2)))
scalar `k2'=3*(`N'^2+27*`N'-70)*(`N'+1)*(`N'+3)/((`N'-2)*(`N'+5)*(`N'+7)*(`N'+9))
scalar `wk'=sqrt(sqrt(2*(`k2'-1))-1)
scalar `delta'=1/sqrt(ln(`wk'))
scalar `alpha'=sqrt(2/(`wk'*`wk'-1))
matrix `yalpha'=`y'/`alpha'
scalar `yalpha'=`yalpha'[1,1]
ereturn scalar lmnsz=`delta'*ln(`yalpha'+sqrt(1+`yalpha'^2))
ereturn scalar lmnszp= 2*(1-normal(abs(e(lmnsz))))
ereturn scalar lmndp=e(lmnsz)^2+e(lmnkz)^2
ereturn scalar lmndpp= chi2tail(2, abs(e(lmndp)))
matrix `uinv'=invsym(`corr3')
matrix `q1'=e(lmnsz)'*`uinv'*e(lmnsz)
ereturn scalar lmnsms=`q1'[1,1]
ereturn scalar lmnsmsp= chi2tail(1, abs(e(lmnsms)))
matrix `uinv2'=invsym(`corr4')
matrix `q2'=e(lmnkz)'*`uinv2'*e(lmnkz)
ereturn scalar lmnsmk=`q2'[1,1]
ereturn scalar lmnsmkp= chi2tail(1, abs(e(lmnsmk)))
matrix `mpc2'=(`pc2'-(`pc1'^2/`N'))/`N'
matrix `mpc3'=(`pc3'-(3/`N'*`pc1'*`pc2')+(2/(`N'^2)*(`pc1'^3)))/`N'
matrix `mpc4'=(`pc4'-(4/`N'*`pc1'*`pc3')+(6/(`N'^2)*(`pc2'*(`pc1'^2)))-(3/(`N'^3)*(`pc1'^4)))/`N'
scalar `pcb1'=`mpc3'[1,1]/`mpc2'[1,1]^1.5
scalar `pcb2'=`mpc4'[1,1]/`mpc2'[1,1]^2
scalar `sqb1p'=`pcb1'^2
scalar `b2p'=`pcb2'
ereturn scalar lmnsvs=`sqb1p'*`N'/6
ereturn scalar lmnsvsp= chi2tail(1, abs(e(lmnsvs)))
ereturn scalar lmnsvk=(`b2p'-3)*sqrt(`N'/24)
ereturn scalar lmnsvkp= 2*(1-normal(abs(e(lmnsvk))))
di
di _dup(78) "{bf:{err:=}}"
di as txt "{bf:{err:* Panel Non Normality Tests}}"
di _dup(78) "{bf:{err:=}}"
di as txt "{bf: Ho: Normality - Ha: Non Normality}"
di _dup(78) "-"
di "{bf:*** Non Normality Tests:}
di as txt "- Jarque-Bera LM Test" _col(40) "=" as res %9.4f e(lmnjb) _col(55) as txt "P-Value > Chi2(2) " _col(73) as res %5.4f e(lmnjbp)
di as txt "- White IM Test" _col(40) "=" as res %9.4f e(lmnw) _col(55) as txt "P-Value > Chi2(2) " _col(73) as res %5.4f e(lmnwp)
di as txt "- Doornik-Hansen LM Test" _col(40) "=" as res %9.4f e(lmndh) _col(55) as txt "P-Value > Chi2(2) " _col(73) as res %5.4f e(lmndhp)
di as txt "- Geary LM Test" _col(40) "=" as res %9.4f e(lmng) _col(55) as txt "P-Value > Chi2(2) " _col(73) as res %5.4f e(lmngp)
di as txt "- Anderson-Darling Z Test" _col(40) "=" as res %9.4f e(lmnad) _col(55) as txt "P > Z(" %6.3f `Z' ")" _col(73) as res %5.4f e(lmnadp)
di as txt "- D'Agostino-Pearson LM Test " _col(40) "=" as res %9.4f e(lmndp) _col(55) as txt "P-Value > Chi2(2)" _col(73) as res %5.4f e(lmndpp)
di _dup(78) "-"
di "{bf:*** Skewness Tests:}
di as txt "- Srivastava LM Skewness Test" _col(40) "=" as res %9.4f e(lmnsvs) _col(55) as txt "P-Value > Chi2(1)" _col(73) as res %5.4f e(lmnsvsp)
di as txt "- Small LM Skewness Test" _col(40) "=" as res %9.4f e(lmnsms) _col(55) as txt "P-Value > Chi2(1)" _col(73) as res %5.4f e(lmnsmsp)
di as txt "- Skewness Z Test" _col(40) "=" as res %9.4f e(lmnsz) _col(55) as txt "P-Value > Chi2(1)" _col(73) as res %5.4f e(lmnszp)
di _dup(78) "-"
di "{bf:*** Kurtosis Tests:}
di as txt "- Srivastava  Z Kurtosis Test" _col(40) "=" as res %9.4f e(lmnsvk) _col(55) as txt "P-Value > Z(0,1)" _col(73) as res %5.4f e(lmnsvkp)
di as txt "- Small LM Kurtosis Test" _col(40) "=" as res %9.4f e(lmnsmk) _col(55) as txt "P-Value > Chi2(1)" _col(73) as res %5.4f e(lmnsmkp)
di as txt "- Kurtosis Z Test" _col(40) "=" as res %9.4f e(lmnkz) _col(55) as txt "P-Value > Chi2(1)" _col(73) as res %5.4f e(lmnkzp)
di _dup(78) "-"
di as txt _col(5) "Skewness Coefficient =" _col(28) as res %7.4f `Sk' as txt "   " "  - Standard Deviation = " _col(48) as res %7.4f `sksd'
di as txt _col(5) "Kurtosis Coefficient =" _col(28) as res %7.4f `Ku' as txt "   " "  - Standard Deviation = " _col(48) as res %7.4f `kusd'
di _dup(78) "-"
di as txt _col(5) "Runs Test:" as res " " "(" `Rn' ")" " " as txt "Runs - " as res " " "(" `N1' ")" " " as txt "Positives -" " " as res "(" `N2' ")" " " as txt "Negatives"
di as txt _col(5) "Standard Deviation Runs Sig(k) = " as res %7.4f `SN' " , " as txt "Mean Runs E(k) = " as res %7.4f `EN'
di as txt _col(5) "95% Conf. Interval [E(k)+/- 1.96* Sig(k)] = (" as res %7.4f `Lower' " , " %7.4f `Upper' " )"
di _dup(78) "-"
 }
 if inlist("`run'", "xtabond", "xtdpdsys", "xtdhp") {
 restore
 }
tempvar Time
qui gen `Time'=_n
qui sort `Time'
if "`predict'"!= "" {
qui cap drop `predict'
mata: `predict'=Yhxt
getmata `predict' , force replace
label variable `predict' `"Yh - Prediction"'
 }
if "`resid'"!= "" {
qui cap drop `resid'
mata: `resid'=Uext
getmata `resid' , force replace
label variable `resid' `"Ue - Residual"'
 }
if "`tolog'"!="" {
qui foreach var of local vlistlog {
qui replace `var'= `xyind`var''
 }
 }

if "`model'"!="" & inlist("`mfx'", "lin", "log") {
tempname mfxb mfxe mfxlin mfxlog XMB XYMB YMB YMB1
if !inlist("`run'", "xtabond", "xtdpdsys", "xtdhp") {
tokenize "`pre' `SPXvar'"
 }
if inlist("`run'", "xtabond", "xtdpdsys", "xtdhp") {
tempvar Time
qui gen `Time'=_n
qui tsset `Time'
tempvar L_yvar
qui gen `L_yvar'=L.`yvar'
qui replace `L_yvar'=0 if `L_yvar'==.
tokenize "L.`yvar' `SPXvar' "
local SPXvar `L_yvar' `SPXvar'
 }
qui mean `SPXvar'
matrix `XMB'=e(b)'
qui summ `yvar'
scalar `YMB1'=r(mean)
matrix `YMB'=J(rowsof(`XMB'),1,`YMB1')
mata: X = st_matrix("`XMB'")
mata: Y = st_matrix("`YMB'")
if inlist("`mfx'", "lin") {
mata: `XYMB'=X:/Y
mata: `XYMB'=st_matrix("`XYMB'",`XYMB')
matrix `mfxb' =`Bx'
matrix `mfxe'=vecdiag(`Bx'*`XYMB'')'
matrix `mfxlin' =`mfxb',`mfxe',`XMB'
matrix rownames `mfxlin' = `*'
matrix colnames `mfxlin' = Marginal_Effect(B) Elasticity(Es) Mean
matlist `mfxlin' , title({bf:* Marginal Effect - Elasticity {bf:(Model= {err:`model'})}: {err:Linear} *}) twidth(10) border(all) lines(columns) rowtitle(Variable) format(%18.4f)
ereturn matrix mfxlin=`mfxlin'
 }
if inlist("`mfx'", "log") {
mata: `XYMB'=Y:/X
mata: `XYMB'=st_matrix("`XYMB'",`XYMB')
matrix `mfxe'=`Bx'
matrix `mfxb'=vecdiag(`Bx'*`XYMB'')'
matrix `mfxlog' =`mfxe',`mfxb',`XMB'
matrix rownames `mfxlog' = `*'
matrix colnames `mfxlog' = Elasticity(Es) Marginal_Effect(B) Mean
matlist `mfxlog' , title({bf:* Elasticity - Marginal Effect {bf:(Model= {err:`model'})}: {err:Log-Log} *}) twidth(10) border(all) lines(columns) rowtitle(Variable) format(%18.4f)
ereturn matrix mfxlog=`mfxlog'
 }
di as txt " Mean of Dependent Variable =" as res _col(30) %12.4f `YMB1'
 }
qui cap matrix drop _all
qui cap mata: mata drop *
 if "`zero'"!="" {
qui foreach var of local varlist {
qui replace `var'= `zeromiss'`var'
 }
 }
qui sort `Time'
end

program define spdpds , eclass byable(recall)
version 11.0
syntax varlist [if] [in] , nc(str) id(str) [NOCONStant FE RE BE ITER(int 100) coll]
tempvar `varlist'
qui marksample touse
qui markout `touse' , strok
 if "`coll'"=="" {
_rmcoll `varlist' , `noconstant' `coll' forcedrop
 local varlist "`r(varlist)'"
 }
gettoken yvar xvar : varlist
local kx=e(kx)
local N=e(Nn)
local kxd : word count `xvar'
tempname kbd
scalar `kbd'=`kxd'+1
 if "`noconstant'"!="" {
scalar `kbd'=`kxd'
 }
tempvar dy dy1 X0 Time idv itv Yh_MLx Ue_MLx
tempname ldye12 By Bx Covx Covy Beta0 Beta1 Beta Cov kbd0 B V xz Bh xy2 Yh_MLx Ue_MLx
qui cap count
local N = r(N)
local NC=`nc'
local NT=`N'/`NC'
qui cap drop `idv'
qui cap drop `itv'
qui cap drop `Time'
gen `Time' = _n
gen `idv'= ceil(_n/`NT')
gen `itv' = _n-(`idv'-1)*`NT'
qui tsset `Time'
qui gen `dy' = D.`yvar'
qui gen `dy1'= L.`dy'
qui gen `X0' = 1
scalar `Beta0' = .
scalar `Beta1' = 0
local j = 1
 while `j' <= `iter' & abs(`Beta1'-`Beta0') > 0.00001 {
 tempvar Y Ys
 scalar `Beta0' = `Beta1'
qui gen `Y' = `yvar' - `Beta0' * L.`yvar'
 local varhp
 foreach var of local xvar {
 tempvar dxv
 qui gen `dxv' = `var' - `Beta0' * L.`var'
 local varhp "`varhp' `dxv'"
 }
 qui xtset `idv' `itv'
 sort `idv' `itv'
 if "`be'"=="" &"`fe'"=="" {
qui xtreg `Y' `varhp' , re
  }
else {
qui xtreg `Y' `varhp' , `fe' `be'
 }
 matrix `Bx' = e(b)
 matrix `Covx' = e(V)
qui gen `Ys' = `yvar'
 local k = 1
qui foreach x of local xvar {
 qui replace `Ys' = `Ys' - `Bx'[1,`k'] * `x'
 local k = `k' + 1
  }
 qui replace `X0' = 1 - _b[_cons]
 tempvar dy ldy ldy2 E ldye ldye1
 qui gen `dy' = D.`Ys'
 qui gen `ldy' = L.`dy'
 qui gen `ldy2'= 2*`dy'+`ldy'
if "`noconstant'"!="" {
 qui matrix accum `xy2' = `ldy' `ldy2' , `noconstant'
 }
 else {
 qui matrix accum `xy2' = `ldy' `ldy2' `X0' , `noconstant'
 }
 matrix `By'= `xy2'[2,1]/`xy2'[1,1]
 local  By1 = `By'[1,1]
 qui gen `E'= `ldy2' - `By1' * `ldy'
 qui gen `ldye' = `ldy' * `E'
 qui by `idv': egen `ldye1' = sum(`ldye')
 qui by `idv': replace `ldye1' = `ldye1'/sqrt(_N)
 qui matrix accum `ldye12' = `ldye1' , `noconstant'
 matrix `Covy' = `ldye12'[1,1] / (`xy2'[1,1]^2)
 scalar `Beta1' = `By'[1,1]
 local j = `j' + 1
 }
 matrix `Beta' = `By'[1,1],`Bx'[1,1..`kbd']
 matrix `kbd0' = J(1,`kbd',0)
 matrix `Cov' = `Covy',`kbd0' \ `kbd0'',`Covx'[1..`kbd',1..`kbd']
 tokenize "L.`yvar' `xvar' "
 if "`noconstant'"!="" {
matrix colnames `Cov' = `*'
matrix rownames `Cov' = `*'
matrix colnames `Beta'= `*'
 }
 else {
matrix colnames `Cov' = `*' _cons
matrix rownames `Cov' = `*' _cons
matrix colnames `Beta'= `*' _cons
 }
 ereturn post `Beta' `Cov', depname("`yvar'")
 ereturn display , `level'
ereturn scalar df_m=`kx'+1
ereturn scalar N=_N
ereturn scalar kxd=`kxd'
ereturn scalar kbd=`kbd'
qui predict `Yh_MLx' , xb
mkmat `Yh_MLx' , matrix(Yh_MLx)
mkmat `yvar' , matrix(`yvar')
matrix Ue_MLx=`yvar'- Yh_MLx
end

program define yxregeq
version 10.0
 syntax varlist
 gettoken yvar xvar : varlist
local LEN=length("`yvar'")
local LEN=`LEN'+3
di "{p 2 `LEN' 5}" as res "{bf:`yvar'}" as txt " = " "
local kx : word count `xvar'
local i=1
 while `i'<=`kx' {
local X : word `i' of `xvar'
 if `i'<`kx' {
di " " as res " {bf:`X'}" _c
di as txt " + " _c
 }
 if `i'==`kx' {
di " " as res "{bf:`X'}"
 }
local i=`i'+1
 }
di "{p_end}"
di as txt "{hline 78}"
end