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Re: st: AKAIKE formula


From   Paulo Regis <pauloregis.ar@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: AKAIKE formula
Date   Tue, 13 Apr 2010 17:46:57 +0800

Lets say it is an F-test, where one of the "q" restrictions is the
coefficient of the lag of the dependent variable. In my example, I
showed the case where q=1. H0: c = 0 .

More general for an F-statistic, since you have the lag of the
dependent variable, there is endogeneity (you can use lags of the
indep variables as instruments). Therefore, you can think of a Wald
test where:
a) you use OLS for the restricted model.
b) you should use IV for the unrestricted model.

Alternatively, I could check which of the two models minimize akaike.
How inappropriate is that?

Paulo



On Tue, Apr 13, 2010 at 5:35 PM, Maarten buis <maartenbuis@yahoo.co.uk> wrote:
> --- On Tue, 13/4/10, Paulo Regis wrote:
>> Now, what if the issue involves nested models in a panel.
>> Model A:
>>
>> Y = B X + e
>>
>> Then, we have the "nested" model B
>>
>> Y = B X +c Y(-1) + e
>>
>> if Y(-1) were any variable, no problem: the t-statistic.
>> However, there is endogeneity and now i have that i need
>> to use IV. That is the reason I wanted to use AIC.
>>
>> Actually, I made the two mdoels very simple. I add other
>> variables in addition to Y(-1) so I should look at the
>> F-statistic or a fit measure.
>
> I am afraid I do not understand the question. It looks like
> you are trying to test something, but what is the null
> hypothesis that you are trying to test?
>
> -- Maarten
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
> http://www.maartenbuis.nl
> --------------------------
>
>
>
>
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