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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 > -------------------------- > > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: AKAIKE formula***From:*Maarten buis <maartenbuis@yahoo.co.uk>

**References**:**Re: st: AKAIKE formula***From:*Paulo Regis <pauloregis.ar@googlemail.com>

**Re: st: AKAIKE formula***From:*Maarten buis <maartenbuis@yahoo.co.uk>

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