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Re: st: Using Bayesian Information Criterion (BIC)


From   "Clive Nicholas" <clivelists@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Using Bayesian Information Criterion (BIC)
Date   Thu, 24 Apr 2008 08:20:07 +0200

Lorena Barberia wrote:

>  I was trying to implement the BIC per the recommendation of an article by
>  Beck and Katz titled "Time-Series-Cross-Section Issues: Dynamics, 2004" that
>  advocates and calculates the BIC for different specifications of a pooled
>  OLS regression with panel corrected standard errors (e.g. AR1 model vs.
>  lagged dependent variable model with standard errors estimated with XTPCSE).
>  In the article, the authors argue that the BIC performs better than the
>  F-test for testing if fixed effects are necessary.  The paper can be
>  downloaded from Nathaniel Beck's website at NYU. It should be noted that the
>  authors do not advocate or apply the BIC to GMM.  I had also read the BIC
>  note in Stata.
>
>  I will look into this further. Your comments have been very helpful.

I'd look into it by asking Nat Beck himself how he implemented this
for -xtpcse- in Stata. He's normally good on e-mails.

-- 
Clive Nicholas

[Please DO NOT mail me personally here, but at
<clivenicholas@hotmail.com>. Thanks!]

"Courage is going from failure to failure without losing enthusiasm."
-- Winston Churchill
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