Jun Xu,
Quoting Jun Xu <[email protected]>:
> 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: [email protected]
web: http://www.som.hw.ac.uk/ecomes
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