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st: AW: Negative LR test statistic ?


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: Negative LR test statistic ?
Date   Mon, 21 Dec 2009 16:30:42 +0100

<> 



What kind of covariates have you included in these models? Over 500 (540/605
to be precise)? 



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Ekrem Kalkan
Gesendet: Montag, 21. Dezember 2009 16:23
An: statalist@hsphsun2.harvard.edu
Betreff: st: Negative LR test statistic ?

Dear Stata users,

I estimate restricted and unrestricted 3SLS models. I compare these
models with LR test. However, the loglikelihood value of the
restricted model is higher than that of the unrestricted model. To my
knowledge, this is not expected in econometric theory. As the result,
LR-statistics becomes a negative value. Please see my results below.
Can you please comment on this? Thank you.

. lrtest rSLS3_85 uSLS3_85, stats

Likelihood-ratio test
LR chi2(65) =  -1311.29
(Assumption: rSLS3_85 nested in uSLS3_85)              Prob > chi2 =
1.0000

----------------------------------------------------------------------------
-
       Model |    Obs    ll(null)   ll(model)     df          AIC
BIC
-------------+--------------------------------------------------------------
-
    rSLS3_85 |    864           .    34853.08    541    -68624.17
-66048.16
    uSLS3_85 |    864           .    34197.44    606    -67182.87
-64297.36


Ekrem Kalkan
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