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Re: st: AW: Negative LR test statistic ?


From   Ekrem Kalkan <kalkan.ekrem@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: AW: Negative LR test statistic ?
Date   Mon, 21 Dec 2009 19:03:36 +0200

Actually I am estimating a linearized Almost Ideal Demand System
within a two-level budgeting framework.

My explanatory variables are
-log prices of commodities in the system,
-log of reel total expenditure for these commodities,
- city and time fixed effects,
- some demographical variables,
- and a few demand shifter.

Thanks.

Ekrem

2009/12/21 Martin Weiss <martin.weiss1@gmx.de>:
>
> <>
>
>
>
> 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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