Statalist


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

Re: st: RE: AIC xtpcse


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: AIC xtpcse
Date   Wed, 27 Aug 2008 13:32:18 -0500

On 8/27/08, Martin Weiss <martin.weiss@uni-tuebingen.de> wrote:
> Try
>
>  **********
>  webuse grunfeld, clear
>     xtset company year, yearly
>     xtpcse invest mvalue kstoc
>         eret li
>     estimates store new
>  estimates table new, stats(aic) style(oneline)
>  **********
>
>  to see that this is the normal behavior. Likely explanation: -xtpcse- does
>  not return the information you are asking for. Type -eret li- to see what it
>  does return.

Deeper explanation: what's the sample size you want to plug in to
compute BIC? # of panels or the total # of observations? Or some
effective # in between? The AIC and BIC are derived as certain
asymptotic approximations for i.i.d. data. Their generalizations to
clustered/structured/hierarchical data are not straightforward, so it
makes perfect sense that Stata DOES NOT report them and thus protects
you from using unjustified methods.

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index