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st: RE: Likelihood-ratio test for frontier models


From   "Martin Weiss" <martin.weiss@uni-tuebingen.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Likelihood-ratio test for frontier models
Date   Tue, 16 Sep 2008 15:30:29 +0200

As -h lrtest- says: " lrtest performs a likelihood-ratio test for the null
hypothesis that the parameter vector of a statistical model satisfies some
smooth constraint." The null is clearly rejected in your case so there is no
support for the restricted (nested) model B...

HTH
Martin

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Monika Baron
Sent: Tuesday, September 16, 2008 3:20 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: Likelihood-ratio test for frontier models

Hello everyone!

I'm modelling a Stochastic Cost Frontier with the command frontier.
I'm trying to find the model's best functional form by using a
Likelihood-ratio test.

My output:
********
. lrtest A B, stats

Likelihood-ratio test                                  LR chi2(6)  =
49.42
(Assumption: B nested in A)                            Prob > chi2 =
0.0000

----------------------------------------------------------------------------
-
      Model |    Obs    ll(null)   ll(model)     df          AIC         BIC
-------------+--------------------------------------------------------------
-
          B |    439           .    548.5923     17    -1063.185    -993.748
          A |    439           .    573.3007     23    -1100.601   -1006.658
----------------------------------------------------------------------------
-
              Note:  N=Obs used in calculating BIC; see [R] BIC note

*********

1. Why are there no ll(null) in the statistics?

2. What do the results imply? Which model should I choose?


Thanks
Monika
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