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From |
Antoine Terracol <Antoine.Terracol@univ-paris1.fr> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: [Non Stata] Testing nested models with clustering |

Date |
Wed, 17 Jun 2009 09:18:48 +0200 |

Thanks Stas.

Antoine Stas Kolenikov wrote:

You can do a one-sided Wald test with the clustered standard errors just fine. The LRT is indeed a disaster, and if you have clustering you would probably have a pseudo-likelihood rather than true likelihood, anyway (although I am not really familiar with frailty models sufficiently well). This means that the distribution of the LRT even without a boundary is not a chi-square but a sum of weighted chi-squares, Satterthwaite-style. If you truncate this to the boundary, all the hell breaks lose. The Wald test however is quite simple, clustered standard errors, jackknife standard errors, or whatever standard errors you trust in your situation. If the left confidence limit covers zero, you don't reject, and can claim there is no heterogeneity. I suspect there is one, anyways... otherwise you won't be doing the more complicated analysis, right? :)) On 6/16/09, Antoine Terracol <Antoine.Terracol@univ-paris1.fr> wrote: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 -- Ce message a ete verifie par MailScanner pour des virus ou des polluriels et rien de suspect n'a ete trouve. * * 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/

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**References**:**st: [Non Stata] Testing nested models with clustering***From:*Antoine Terracol <Antoine.Terracol@univ-paris1.fr>

**Re: st: [Non Stata] Testing nested models with clustering***From:*Stas Kolenikov <skolenik@gmail.com>

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