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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 >> * >> * 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/ > * * 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/

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

**Re: st: Likelihood ratio test with pseudo likelihood?***From:*Stas Kolenikov <skolenik@gmail.com>

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