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Re: st: Negative LR test statistic ?


From   Ekrem Kalkan <kalkan.ekrem@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Negative LR test statistic ?
Date   Mon, 21 Dec 2009 22:38:35 +0200

Charles,
I do not understand how the loglikelihood of the restricted model can
be higher than that of unrestricted model. This causes LR-statistic to
be negative (-1311). Do you think these are normal?

Ekrem.

2009/12/21 Charles Koss <hqtiger@gmail.com>:

> Well, you fail to reject the null hypothesis. What is the problem?



>> On Mon, Dec 21, 2009 at 10:23 AM, Ekrem Kalkan <kalkan.ekrem@gmail.com> wrote:
>>> 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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>>
>>
>>
>> --
>> Steven Samuels
>> sjsamuels@gmail.com
>> 18 Cantine's Island
>> Saugerties NY 12477
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>>
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