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Re: st: ml command and chi-square tests
At 05:45 PM 3/25/2005 -0600, Jeff Pitblado, StataCorp LP wrote:
Returning to the subject of LR tests when constraints are imposed - are
their criteria by which I can decide whether an LR test is or is not
appropriate when constraints are imposed? The constraints I am most likely
to impose are two or more betas are equal (either within or across
equations) or else one or more
This restriction was added when Stata 8.1 was released (01jul2003). It was
added to prevent -ml- from producing an invalid likelihood ratio test, given
its theoretical requirements and the possibility for boundary conditions
imposed by constraints (see the discussion of the likelihood ratio test for
alpha=0 in [R] nbreg).
We considered it safer to produce the Wald test when constraints are supplied
than try to recover from all the possible cases where the standard likelihood
ratio test is not applicable.
As Richard points out, you can still use the -lrtest- command to produce a
likelihood ratio test.
betas = 0. These are generally things I could do myself by estimating two
models, e.g. have a model with the variable in and another model without
it; have a model with the two variables entered separately and another
model which uses their sum. So, my guess is that a LR chi-square test will
be appropriate with such constraints. But, if anyone has more guidance on
this, I would appreciate it.
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
WWW (personal): http://www.nd.edu/~rwilliam
WWW (department): http://www.nd.edu/~soc
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