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Re: st: LM test for OLS


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Jun Xu <mystata@hotmail.com>
Subject   Re: st: LM test for OLS
Date   Thu, 03 Oct 2002 09:38:31 +0100 (BST)

Jun Xu,

Quoting Jun Xu <mystata@hotmail.com>:

> Dear statalisters,
> 
> Does anyone know how to get LM test statistic after running regress?  I have 
> looked at test, and it only implements wald and lrtest tests.  Other test 
> commands such as testnl and linktest do not seem to produce LM Chi-Square 
> test-statistic.  Thanks a lot.

-ivreg2- (available from ssc-ideas, co-authored by Kit Baum, Steve Stillman and myself)
will do this for you.

In the following example,

ivreg2 y1 x1 x2 x3 (= z1 z2 z3)

the Sargan statistic produced by ivreg2 is an LM test of z1,z2,z3 for the OLS
regression of y1 on x1,x2,x3.  See the ivreg2 help file for more details.

--Mark

> 
> Jun Xu
> Department of Sociology
> Indiana University at Bloomington
> 
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> 


Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.som.hw.ac.uk/ecomes
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