Thank you for clarify this to me. I thought wrongly that nestreg
calculated the LR test p-value for each variable, assuming a complete
model.
Eduardo
On Thu, Dec 3, 2009 at 2:57 PM, Richard Williams
<[email protected]> wrote:
> 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: [email protected]
> WWW: http://www.nd.edu/~rwilliam
>
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