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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 09:44:33 +0200

No, I just use the command "reg3". Thank you for your answer.

2009/12/22 Charles Koss <hqtiger@gmail.com>:
> are you using a iterative method, if that is the case, try different
> starting values.
>
>
> --
> Charles Koss
> http://charlesonnet.blogspot.com/
>
> On Mon, Dec 21, 2009 at 6:24 PM, Ekrem Kalkan <kalkan.ekrem@gmail.com> wrote:
>> 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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