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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Likelihood ratio test with pseudo likelihood? |

Date |
Mon, 14 Dec 2009 11:15:23 -0600 |

The asymptotic distribution of the differences in log pseudo-likelihoods has a complicated distribution which is the difference of two sums like sum_j a_j v_j where a_j are eigenvalues of [vce(opg) times inverse(vce(oim))], and v_j are independent chi^2_1 variables. Of course the resulting distribution will be non-standard. (People familiar with structural equation modeling would easily recognize Satorra-Bentler scaled difference test in this :)). Are you really sure you want to deal with that crap? Wald test with your robust standard errors will do just fine to compare two nested models. On Mon, Dec 14, 2009 at 6:24 AM, Thomas Klausch <thomas.klausch@gmail.com> wrote: > Dear Stata listeners, > > I want to compare nested negative binomial regression models with > robust standard errors (using -nbreg, robust-). Is it permissable to > compare the pseudo-likelihoods of the nested models with a likelihood > ratio test? Is this test statistic still chi-squared distributed? I > think I have come about something like a pseudo-likelihood ratio test, > but do not find any details in my literature on this question. Thank > you in advance. > > Thomas > * > * 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/ > -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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/

**Follow-Ups**:**Re: st: Likelihood ratio test with pseudo likelihood?***From:*Thomas Klausch <thomas.klausch@gmail.com>

**References**:**st: Likelihood ratio test with pseudo likelihood?***From:*Thomas Klausch <thomas.klausch@gmail.com>

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