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Re: st: Likelihood ratio test with pseudo likelihood?


From   Thomas Klausch <thomas.klausch@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Likelihood ratio test with pseudo likelihood?
Date   Tue, 15 Dec 2009 09:52:53 +0100

Thanks for your replies. Indeed I'd rather not deal with it. So I
think I will go for a Wald tests then.

Thomas


2009/12/14 Stas Kolenikov <skolenik@gmail.com>:
> 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
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>
>
>
> --
> Stas Kolenikov, also found at http://stas.kolenikov.name
> Small print: I use this email account for mailing lists only.
>
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