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Re: st: Re: Problems with -hetgrot-
----- Original Message -----
From: "Richard Williams" <Richard.A.Williams.firstname.lastname@example.org>
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:
> >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))
> >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))
> 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.
Thanks, I breezed right past this when looking at table 15.1.
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