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Re: st: nestreg discrepancy


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>, "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: nestreg discrepancy
Date   Thu, 03 Dec 2009 14:57:36 -0500

At 01:54 PM 12/3/2009, Eduardo Nunez wrote:
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
...
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...
  |    18 | -4719.984    16.10      1   0.0001  9477.968  9571.978 |
  +----------------------------------------------------------------+

I'm not seeing the discrepancy either. Only the original regress command and the final model produced by nestreg are directly comparable. In the regress command, the t value for tnihigh is 3.99. For the final nestreg model, the LR chi-square for adding tnihigh is 16.10, or about 3.99^2. It looks good to me. You can't go looking at all the intermediate models and expect the p-values for those models (where many variables have yet to be entered) to be the same as the p-values in the final model, where all the vars have been entered.


-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME:   (574)289-5227
EMAIL:  Richard.A.Williams.5@ND.Edu
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