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Re: st: compare different GLS models


From   Estrella Gomez <estrellastata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: compare different GLS models
Date   Mon, 12 Jul 2010 12:19:17 +0200

Dear Mareike

You can check a simple loss error function for each specification (the
lowest the number, the better). See an example:

reg lxi lGDP_i lGDP_j contig comla smctry ldist i.ichlnum i.jchlnum i.t, robust
predict plxi

* Bias:
gen losspfiw = plxipfiw - lxi

* Absolute error loss:
gen abslosspfiw  = abs(losspfiw)

You can also check the mean square error and the bias (again, the
lowest the better):

* Mean Square Error (MSE)
gen losspfiw2 = losspfiw^2

I hope this helps

Regards
Estrella




2010/6/12 Mareike <MareikeHahr@aol.com>:
> Dear Statalist,
>
> I'm running a generalized least squares model on panel data. I was wondering
> how I compare the goodness of fit of different specifications of such GLS
> models?
> This might be a very basic question, but I would really appreciate if
> anybody could provide me with an answer.
>
> Thanks in advance
>
> Mareike Hahr
>
> University of Freiburg
>
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