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Re: st: RE: AIC xtpcse

From   "Stas Kolenikov" <>
Subject   Re: st: RE: AIC xtpcse
Date   Wed, 27 Aug 2008 13:32:18 -0500

On 8/27/08, Martin Weiss <> 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
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