ROBUSTLMTEST Procedure

@ROBUSTLMTEST performs a heteroscedasticity-consistent LM test for the orthogonality between the residuals from the most recent regression and the input test variables.

@RobustLMTest( options )

# list of test variables

Options

TITLE="title for test statistic output"

Example

This runs an linear regression, then runs a second regression with a reduced set of variables and does a robust test for the exclusion of the omitted variables.

open data mroz.raw

data(format=free,org=columns) 1 428 inlf hours kidslt6 kidsge6 $

age educ wage repwage hushrs husage huseduc huswage faminc mtr $

motheduc fatheduc unem city exper nwifeinc lwage expersq

set lwage = log(wage)

set expersq = exper^2

* Estimate regression with non-robust standard errors.

linreg lwage

# constant exper expersq educ age kidslt6 kidsge6

linreg lwage

# constant exper expersq educ

@RobustLMTest

# age kidslt6 kidsge6