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Re: st: Using Bayesian Information Criterion (BIC)


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
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. <ralfaro@bcentral.cl> 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.
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