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st: [Non Stata] Testing nested models with clustering


From   Antoine Terracol <Antoine.Terracol@univ-paris1.fr>
To   statalist@hsphsun2.harvard.edu
Subject   st: [Non Stata] Testing nested models with clustering
Date   Tue, 16 Jun 2009 10:18:55 +0200

Dear _all,

I have estimated two models using -ml-. The two models are nested, and model B is equivalent to model A if some parameter delta is equal to zero.

I have clustered standard errors, and thus cannot use a LR test to test B against A. Moreover, delta is constrained in (0,1) through a logistic transformation.

In -heckman- with -cluster()-, the corresponding test is a Wald test of atanh(rho)=0; but in -streg, frailty()- with -cluster()-, no test is performed for the null that there is no heterogeneity (without clustering, a LR test for theta=0 is performed).

Should I infer that there is no proper (and simple) way to test for nested models with clustering when the additional parameter is constrained, and the null is on the boundary?

Best,

Antoine

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