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Do you know how can I compute out the p-value in LM statistics? (What is the command in stata?) I know that to implement the LM computing procedure I have to do the following steps:

  1. Obtain the OLS estimators of the restricted model;
  2. Obtain the residuals regression;
  3. regress the residuals on all independent variablesof the unrestricted model;
  4. get the R^2 of this regression;
  5. get LM stat that is [R^2] * [# of observations];

I know how I have to proceed till now, but how can I compute out the p-value for the LM statistics? Does somebody know how getting the solution? Thanks in advance for helping!!

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The entry in wikipedia,

This [the LM statistics] follows a chi-squared distribution, with degrees of freedom equal to the number of estimated parameters (in the auxiliary regression) minus one.

A rapid inspection of the original article of White (1980) confirms this (eq. 2, eq. 3, and Corollary 1 in the article should be what you are looking for).

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    $\begingroup$ White's test is pre-programmed in Stata as estat imtest, white. See stata.com/help.cgi?regress%20postestimation (search page for 'White') $\endgroup$
    – onestop
    Commented Dec 18, 2011 at 16:05
  • $\begingroup$ I solved my problem; anyway thank you for your interest and for helping afresh! In any case, I needed for the LM statistics p-value that one can compute out by texting on stata command: display chi2tail(q;n*R^2). Thank you agin man! $\endgroup$
    – Quantopik
    Commented Dec 18, 2011 at 19:09
  • $\begingroup$ I has been a while since my last time working in stata but I think this link may be useful for you. $\endgroup$
    – Seb
    Commented Dec 18, 2011 at 20:28

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