Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Using Bayesian Information Criterion (BIC)


From   "Stas Kolenikov" <[email protected]>
To   [email protected]
Subject   Re: st: Using Bayesian Information Criterion (BIC)
Date   Tue, 22 Apr 2008 16:35:49 -0500

On Tue, Apr 22, 2008 at 12:15 PM, Rodrigo Alfaro A. <[email protected]> wrote:
>  You are right, there is not e(ll) in the output of -xtpcse- I am not sure about the model
> behind that command, but it seems to me that you need the matrix e(Sigma) along
> with the degree of freedom (in this case e(df) is the scalar), and the sample size: e(N).

BIC is not applicable to neither panel models nor GMM, at least in
direct way. It is derived as an approximation of the Bayes factor for
model selection, in a number of situations it gives a poor
approximation, and at any rate it needs a concept of the likelihood to
work with, and those models do not provide for likelihood.

Entertain a very simple question: even if you want to construct an
analogue of BIC for panel data, should your n be the number of panels
or the number of observations?

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: Please do not reply to my Gmail address as I don't check
it regularly.
*
*   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/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index