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From |
Jon Heron <jon.heron@bristol.ac.uk> |

To |
statalist <statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: LR-tests and Xtnbreg |

Date |
Tue, 3 Jun 2003 14:16:30 +0100 |

Me again, in attempt to gain a better understanding, I am trying to verify the relationship between alpha in the mean-dispersion nbreg model and delta in the constant-dispersion nbreg model. This works fine in a pair of models containing just a constant however breaks down when I add a 2 level factor. How is the single value of delta calculated from the two delta_i from the two groups? It doesn't appear to be the arithmetic nor geometric mean. thanks in advance Jon > > > If so, why, when I compare the likelihoods of an xtnbreg model with it's > > equivalent nbreg model does (2 x) the difference not agree with the > > chi-square value quoted in this test? The discrepancy is > slight, but I do > > obtain an exact agreement when comparing the likelihoods of poisson and > > xtpois in the same way. > > Note that there are two parameterizations of the negative binomial that > are available under -nbreg-, the mean dispersion (default) and > the constant > dispersion (option -dispersion(constant)-). > > The model associated with -xtnbreg- is a generalization of the constant > dispersion parameterization of the negative binomial. Thus, if > you are going > to calculate likelihood ratio tests manually, you need to specify > -dispersion(constant)- with -nbreg-. > > > Furthermore, since these 4 models appear to be nested, why > can't I use the > > 'lrtest' command to assess their relative worth? > > -lrtest- will complain if your models, even though nested, are > fitted using > different estimation commands. A little too cautious perhaps, yet we feel > this is a necessary safeguard against calculating likelihood ratios for > non-nested models. > > When you are sure that the models are nested, you can turn off > this safeguard > by specifying option -force- to -lrtest-. > > --Bobby > rgutierrez@stata.com > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: LR-tests and Xtnbreg***From:*rgutierrez@stata.com (Roberto G. Gutierrez, StataCorp.)

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