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st: random intercept model: How To Interpret LR test ?


From   Christian Weiss <christian.weiss@nightberry.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: random intercept model: How To Interpret LR test ?
Date   Sun, 31 May 2009 21:08:53 +0200

Dear Statalisters,


I estimated the following Model in Stata:

xtmixed cr5 firmsize firmrisk firmrisk_sqr firmperformance regulation
shareholderprotection || country: || industry: , variance

yielding the followng results stated at the end of this Mail.


Could you give me any advice how the LR test? ( LR test vs. linear
regression:       chi2(2) =    56.66   Prob > chi2 = 0.0000) or where
to find information on this?

Best regards
Christian




Mixed-effects REML regression                   Number of obs      =      1631

-----------------------------------------------------------
                |   No. of       Observations per Group
 Group Variable |   Groups    Minimum    Average    Maximum
----------------+------------------------------------------
        country |       11         32      148.3        229
       industry |       77          1       21.2        130
-----------------------------------------------------------

                                                Wald chi2(6)       =     52.01
Log restricted-likelihood = -7984.3674          Prob > chi2        =    0.0000

------------------------------------------------------------------------------
         cr5 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
    firmsize |  -11.92074    6.35883    -1.87   0.061    -24.38381    .5423412
    firmrisk |  -13.85418   4.797781    -2.89   0.004    -23.25766   -4.450705
firmrisk_sqr |   4.109892   2.060116     1.99   0.046     .0721388    8.147645
firmperfor~e |  -.6474671   .8563392    -0.76   0.450    -2.325861    1.030927
  regulation |   7.223811   4.164931     1.73   0.083    -.9393036    15.38692
shareholde~n |  -.5501527   .1691597    -3.25   0.001    -.8816997   -.2186057
       _cons |   123.6726   17.48342     7.07   0.000     89.40575    157.9395
------------------------------------------------------------------------------

------------------------------------------------------------------------------
  Random-effects Parameters  |   Estimate   Std. Err.     [95% Conf. Interval]
-----------------------------+------------------------------------------------
country: Identity            |
                  var(_cons) |   47.99412   34.40126      11.77778    195.5748
-----------------------------+------------------------------------------------
industry: Identity           |
                  var(_cons) |   62.90742   23.75873      30.00696    131.8809
-----------------------------+------------------------------------------------
               var(Residual) |   1019.328   36.52924      950.1883    1093.498
------------------------------------------------------------------------------
LR test vs. linear regression:       chi2(2) =    56.66   Prob > chi2 = 0.0000
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