Dear,
How can I test the significance of model improvement if only the log
pseudolikelihood is given?
Can I still use LRtest?
I have two nested models, which I estimate using tobit regression with
clustering. Since the observations are no longer independent, STATA
returns the log PSEUDOlikelihood (instead of the log likelihood
without the clustering). I would like to know if model 2 offers a
significantly better fit than model 1 (with model 1 contained in model
2).
On the STATA website, it is argued that lrtest is not valid when using
pseudolikelihoods. The argument seems to focus on testing of a group
of coefficients, and it's not clear whether the lrtest is also invalid
when assessing (increases in) model fit. See:
http://www.stata.com/support/faqs/stat/lrtest.html
Many thanks,
Bart Vanneste
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