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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 02:24:20 +0200

I see your point, but in my case every equation has 860 number of
observartion. Still, I think there should be a different reason rather
than degrees of freedom. Thank you very much anyway.


2009/12/22 Maarten buis <maartenbuis@yahoo.co.uk>:
> --- 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
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
> http://www.maartenbuis.nl
> --------------------------
>
>
>
>
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