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Re: st: Fixing an -ml model- syntax problem


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fixing an -ml model- syntax problem
Date   Tue, 20 Feb 2007 17:29:13 -0500

At 04:42 PM 2/20/2007, Clive Nicholas wrote:
The model parameters and standard errors are exactly the same, but the model fit is better under -oglm-. The
Not really. The hypotheses being tested are different. There are 2 equations in the model (typically called choice and variance, or else location and scale). oglm is doing a likelihood ratio chi-square test of whether the coefficients in both equations all equal zero. complogit is only testing the coefficients in the first equation and is using a Wald test. (Note that the d.f. reported by the two programs are different.) With oglm, it is easy enough to do other Wald or LR tests if you don't happen to like the one that is reported.


key issue, however, is the value of the $\{delta}$ parameter. under -gplogit-, $\{delta} < 0$, implying that residual variation is larger amongst blacks than amongst non-blacks. Under -oglm-, $\{delta} > 0$, which implies exactly the opposite. This throws up two follow-up questions:
Not so. As noted in one of my other followup messages, a little bit of algebra can switch you back and forth between Allison's delta and oglm's lnsigma, but they are not exactly the same thing. Further, whatever tests you look at (z values, Wald or LR chi-square tests) you conclude that the residual variances do not significantly differ by race.


(1) If both of these achieved significance here, how on Earth do you decide whether or not to include an interactive term in the model?
None of the analyses presented so far have said anything about interaction terms; they've only addressed whether residual variation differs across groups, and the answer seems to be no. If you now want to test interaction terms involving race, go ahead; and plain old -logit- will probably be adequate for your needs.

I'm not sure if this clearly answers your questions or not! If not, all sorts of reading materials are available at

http://www.nd.edu/~rwilliam/oglm/index.html

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Richard Williams, Notre Dame Dept of Sociology
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