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Re: st: Nonlinear LR Test in SUR context


From   Gernot Wagner <gwagner@fas.harvard.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Nonlinear LR Test in SUR context
Date   Tue, 21 Nov 2006 08:27:35 -0800

Maarten,

Thank you for your quick response. Unfortunately, the Wald test is not consistent across different nonlinear specifications. Testing A B = C D gives different results from A = C D/B. That's why we wanted to try the LR-test.

Do you or anybody else on this list happen to have an example of a program that contains such a sureg-like program to compare log likelihoods?

Thank you!
Gernot

79 JFK Street B315
Cambridge MA 02138
Phone 617-642-4070
http://gwagner.com

On Nov 21, 2006, at 1:34 AM, Maarten buis wrote:


--- Gernot Wagner <gwagner@fas.harvard.edu> wrote:
How do I implement a nonlinear likelihood-ratio test in a SUR
context?
Gernot:
You can do a Wald-type test based on the delta method with -testnl- or
-nlcom-. See the example below. If you really want to do the likelihood
ratio test then you'll have to program a -sureg-like program that
contains the constraint yourself and compare the log likelihoods. I
don't think that is worth the effort, given the availability of
-testnl- and -nlcom-.

HTH,
Maarten


*---------- begin example -----------------
sysuse auto, clear
sureg (price foreign weight length) (mpg displ = foreign weight)
testnl _b[price:foreign]/_b[mpg:weight]=_b[price:length]
return list
nlcom example:_b[price:foreign]/_b[mpg:weight]-_b[price:length], post
di %18.14f (_b[example]/_se[example])^2
/*compare with chi2 from -testnl-*/
*------------- end example ----------------

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------





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