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st: RE: nestreg discrepancy


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: nestreg discrepancy
Date   Thu, 3 Dec 2009 20:43:42 +0100

<>

I cannot see the "discrepancy". -nestreg- adds covariates one after another,
and compares the models via LR, while -regress- adds them all at once and
gives you a p-value for the test whether the population parameter is zero.
Also note that for -nestreg-, the order of the -varlist- supplied to it
matters, while for -regress- it does not...

*************
webuse census4, clear
nestreg, lr qui: regress brate (medage) (medagesq) (reg2) (reg4)
regress brate medage medagesq reg2 reg4
nestreg, lr qui: regress brate (medage) (medagesq) (reg4) (reg2)
regress brate medage medagesq reg4 reg2
*************


HTH
Martin


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Eduardo Nunez
Sent: Donnerstag, 3. Dezember 2009 19:54
To: statalist@hsphsun2.harvard.edu
Subject: st: nestreg discrepancy

Hi everyone,

I apologize if this is a naive question, but what I understand is that
the LR test p-value should be close to the p-value obtained from t (or
wald statistic).
That's why I wonder the huge discrepancy I got (the likelihood ratio
test p-value estimated with nestreg differs so dramatically from the t
statistic p-value from regress).
Here are the results (see block 5=fe_i and block 6=lnai....both
variables are continuous):

. xi: regress fc_i edad tas_i tad_i lnhb fe_i lnai lnlinfos lnpcr
ingprevio i.sexo*i.acxfa hta bcrdhh diuretico_previo iecaprevia
bbloq_previo tnihigh
i.sexo            _Isexo_0-1          (naturally coded; _Isexo_0 omitted)
i.acxfa           _Iacxfa_0-1         (naturally coded; _Iacxfa_0 omitted)
i.sexo*i.acxfa    _IsexXacx_#_#       (coded as above)

      Source |       SS       df       MS              Number of obs =
1041
-------------+------------------------------           F( 18,  1022) =
31.23
       Model |  290798.843    18  16155.4913           Prob > F      =
0.0000
    Residual |  528729.619  1022  517.347964           R-squared     =
0.3548
-------------+------------------------------           Adj R-squared =
0.3435
       Total |  819528.462  1040  788.008136           Root MSE      =
22.745

----------------------------------------------------------------------------
--
        fc_i |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
        edad |  -.2057782   .0710256    -2.90   0.004     -.345151
-.0664054
       tas_i |  -.0866522   .0296956    -2.92   0.004    -.1449235
-.0283809
       tad_i |   .3368084   .0533858     6.31   0.000       .23205
.4415668
        lnhb |   232.2925   62.88337     3.69   0.000     108.8973
355.6878
        fe_i |  -.1953163   .0531564    -3.67   0.000    -.2996245
-.0910081
        lnai |  -15.30499   4.041561    -3.79   0.000     -23.2357
-7.374289
    lnlinfos |   4.467231    1.00385     4.45   0.000     2.497387
6.437075
       lnpcr |   2.542625   .8110956     3.13   0.002     .9510214
4.134228
   ingprevio |  -5.532232   1.636256    -3.38   0.001    -8.743038
-2.321426
    _Isexo_1 |  -.7361195   2.043631    -0.36   0.719    -4.746311
3.274072
   _Iacxfa_1 |   26.54113   2.159557    12.29   0.000     22.30346
30.7788
_IsexXacx_~1 |  -7.450133   2.879739    -2.59   0.010    -13.10101
-1.799257
         hta |  -3.516089    1.90403    -1.85   0.065    -7.252343
.220166
      bcrdhh |  -5.498154   2.602638    -2.11   0.035    -10.60528
-.3910296
diuretico_~o |  -5.002201   1.751223    -2.86   0.004    -8.438604
-1.565798
  iecaprevia |  -3.147983   1.555494    -2.02   0.043     -6.20031
-.0956568
bbloq_previo |  -9.443874   1.706497    -5.53   0.000    -12.79251
-6.095236
     tnihigh |   6.651076   1.666292     3.99   0.000     3.381331
9.920821
       _cons |   -1037.17   314.5672    -3.30   0.001    -1654.442
-419.8988
----------------------------------------------------------------------------
--

. xi: nestreg, lr quietly: regress fc_i edad tas_i tad_i lnhb fe_i
lnai lnlinfos lnpcr ingprevio i.sexo*i.acxfa hta bcrdhh
diuretico_previo iecaprevia bbloq_previo tnihigh
i.sexo            _Isexo_0-1          (naturally coded; _Isexo_0 omitted)
i.acxfa           _Iacxfa_0-1         (naturally coded; _Iacxfa_0 omitted)
i.sexo*i.acxfa    _IsexXacx_#_#       (coded as above)

Block  1: edad
Block  2: tas_i
Block  3: tad_i
Block  4: lnhb
Block  5: fe_i
Block  6: lnai
Block  7: lnlinfos
Block  8: lnpcr
Block  9: ingprevio
Block 10: _Isexo_1
Block 11: _Iacxfa_1
Block 12: _IsexXacx_1_1
Block 13: hta
Block 14: bcrdhh
Block 15: diuretico_previo
Block 16: iecaprevia
Block 17: bbloq_previo
Block 18: tnihigh

  +----------------------------------------------------------------+
  | Block |        LL       LR     df  Pr > LR       AIC       BIC |
  |-------+--------------------------------------------------------|
  |     1 | -4940.801    14.58      1   0.0001  9885.603  9895.499 |
  |     2 |  -4935.84     9.92      1   0.0016   9877.68  9892.524 |
  |     3 | -4889.166    93.35      1   0.0000  9786.332  9806.123 |
  |     4 |   -4879.5    19.33      1   0.0000  9769.001   9793.74 |
  |     5 | -4879.492     0.02      1   0.8948  9770.983  9800.671 |
  |     6 |  -4879.02     0.94      1   0.3313  9772.039  9806.675 |
  |     7 | -4875.408     7.22      1   0.0072  9766.815  9806.399 |
  |     8 | -4868.665    13.48      1   0.0002  9755.331  9799.862 |
  |     9 | -4857.788    21.75      1   0.0000  9735.576  9785.055 |
  |    10 | -4854.467     6.64      1   0.0100  9730.934  9785.361 |
  |    11 | -4765.272   178.39      1   0.0000  9554.545   9613.92 |
  |    12 | -4761.665     7.22      1   0.0072  9549.329  9613.653 |
  |    13 | -4757.121     9.09      1   0.0026  9542.243  9611.514 |
  |    14 | -4754.762     4.72      1   0.0298  9539.524  9613.743 |
  |    15 | -4746.742    16.04      1   0.0001  9525.484  9604.651 |
  |    16 | -4743.267     6.95      1   0.0084  9520.533  9604.648 |
  |    17 | -4728.035    30.46      1   0.0000  9492.071  9581.134 |
  |    18 | -4719.984    16.10      1   0.0001  9477.968  9571.978 |
  +----------------------------------------------------------------+



Regards,

Eduardo

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