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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   Tue, 22 Dec 2009 00:03:29 +0200

Thank you for commenting on that.

I am estimating  a system of 14 equations, each with nearly 40
variables. I have also  20 excluded instruments. What do you mean by
"empty"model?  If you mean the model without explanatory variables,
there will be only 14 constant term to be estimated. Is it too large?

Best,

Ekrem.


2009/12/21 Maarten buis <maartenbuis@yahoo.co.uk>:
> --- On Mon, 21/12/09, Ekrem Kalkan wrote:
>> 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?
>
> This is known to happen in small sample sizes. 860 is not very
> small, but if you look at the degrees of freedom even your "empty"
> models contains a frightingly large number of parameters. Basically,
> it means that you can't reject your null hypothesis, but it is also
> a sign that your model is too complicated for your data.
>
> Hope this helps,
> Maarten
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
> http://www.maartenbuis.nl
> --------------------------
>
>
>
>
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