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Re: st: Re: Problems with -hetgrot-


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Re: Problems with -hetgrot-
Date   Sun, 14 Mar 2004 21:36:24 -0600

----- Original Message ----- 
From: "Richard Williams" <Richard.A.Williams.5@nd.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Sunday, March 14, 2004 6:38 PM
Subject: Re: st: Re: Problems with -hetgrot-


> At 06:14 PM 3/14/2004 -0600, Scott Merryman wrote:
> >Richard,
> >
> >I believe there is an error in Greene's text.  As you reported, Greene 
> >gives the
> >LR statistics as 120.915.  However, if you compute this by hand, given the
> >individual sigma^2, the result is:
> >
> >. disp 100*ln(15708.84) - 20*(ln(9410.91) + ln(755.85) + ln(34288.49) +
> >ln(633.42) + ln(33455.51))
> >104.41512
> >
> >which is what you and I got.
> 
> I did the same thing!  But if he has an error, I don't think that is where 
> it is.  In Greene, 4th edition, p. 597, he says that iterated fgls (the 
> Model 3 I presented) can be used to compute the LR statistic.  But, he also 
> says that "If only least squares results are available...[they may be 
> used], possibly with some loss of power in small samples."  That is what 
> your above calculation does; it uses the least squares estimates rather 
> than the ML estimates.
> 
> What Greene apparently does is use the estimate of sigma from the OLS 
> estimates (15708.84) with the ML estimates for the group sigmas.  The 
> calculation (using the #s reported on p. 598_ is
> 
> . disp 100*ln(15708.84) - 20*(ln(8657.72) + ln(175.80) + ln(40210.96) + 
> ln(1240.03) + ln(29825.21))
> 120.92892
> 
> What I don't understand is why he is using the 15708.84 from the least 
> squares estimates, rather than using a ML estimate of sigma.  This would 
> seem to be inconsistent with what he says on the middle of p. 597.
> 

Richard,

Thanks, I breezed right past this when looking at table 15.1.

Scott

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