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From |
Jhilbe@aol.com |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: no log likelihood ratio test after nbreg?? |

Date |
Thu, 10 Mar 2005 19:04:18 EST |

I always use the likelihood ratio test when evaluating which predictors to include in a model. During preliminary analysis I'll accept "highly" significant p-values based Z statitics (or t), but not for fine-tuning the final model. Joe Hilbe ================================================ thanks. I was indeed using pweight in nbreg regression. Then it seems the Wald test will be appropriate. But I checked the STATA document and it says: "after the manuals were printed, we revisited this subject and discovered that we did not, in fact, want to include this test (Wald). The likelihood-ratio test is the only test that one should consider in these limiting cases". So do I simply use the wald test reported above the coefficient table? Thanks again. > At 03:40 PM 3/10/2005 -0500, wying1@umbc.edu wrote: >>Hi, all, >> >>Usually there is a log likelikhood ratio test statistics reported after a >>negative binominal regression (I ran possion regression first, and then >>used 'nbreg' regression), and sometimes the Z score for alpha is reported >>too. But in my case, I didn't see the ratio reported after the >>regression, and there is no z score for alpha. Then I tried to use >>'lrtest' after the model, but it says >>"lrtest not valid after robust >>specify force option to perform test anyway". >> >>So I put 'force' in option, but it still didn't give me the result. >> >>Can anybody tell me what's going on? > > Sounds like you used the robust option. There is some discussion of this > on p. 28 of the Stata 8 Survey Data Manual. It says that "pseudo-maximum > likelihood methods" (which get used with robust standard errors) are not > "true likelihoods" and hence "standard LR tests are no longer valid". > > For more, see the FAQ "Why should I not do a likelihood-ratio test after > an > ML estimation (e.g., logit, probit) with clustering or pweights?" at > > http://www.stata.com/support/faqs/stat/lrtest.html > > Other related FAQs are at > > http://www.stata.com/support/faqs/stat/#robust > > > > ------------------------------------------- > Richard Williams, Notre Dame Dept of Sociology > OFFICE: (574)631-6668, (574)631-6463 > FAX: (574)288-4373 > HOME: (574)289-5227 > EMAIL: Richard.A.Williams.5@ND.Edu > WWW (personal): http://www.nd.edu/~rwilliam > WWW (department): http://www.nd.edu/~soc > > * > * 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/ > Ying Wang Ph.D. Candidate Department of Public Policy University of Maryland, Baltimore County 1000 Hilltop Circle, Baltimore, MD 21228 Tel(O): 410-455-6531 Tel(H): 410-747-6980 Fax: 410-455-1172 Email: wying1@umbc.edu * * 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/

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