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Re: st: Negative LR test statistic ?

From   Maarten buis <>
Subject   Re: st: Negative LR test statistic ?
Date   Mon, 21 Dec 2009 22:48:08 +0000 (GMT)

--- On Mon, 21/12/09, Ekrem Kalkan wrote:
> 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?

I am afraid that this could very well be the case. Think of it 
this way: you have only a bit more than 60 observations per 
equation. 60 is OK but not great for linear regression, as it 
is known to be robust, well behaved, and stable, but your are 
realy pushing your luck when using such small sample sizes for 
anything more complicated. This is especially true for anything 
involving instrumental variables, these models can easily eat 
huge amounts of statistical power. 

I hope I haven't ruined your Christmas,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


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