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st: RE: choosing between two non nested models


From   "Vassilopoulos Achilleas" <vassilopoulos.statalist@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: choosing between two non nested models
Date   Wed, 1 Sep 2010 14:54:17 +0300

Kiran- yes it is true that -nnest- does not allow for extra options like -
if-.
I agree with the previous lister that proposed the AIC/BIC criteria.
However, bear in mind that BIC requires N which is usually (but not
necessarily) the number of observations to be the same across models. Unless
you have a sound theory of what this N could be, apart from the number of
observations, then you should probably use AIC. However, make sure that the
likelihoods of the two models measure the same thing, else comparisons based
on AIC are invalid.

See also the help file for AIC/BIC: http://www.stata.com/help.cgi?bic_note 

Best,
_____________ - _______________

Achilleas Vassilopoulos

Agricultural University of Athens,
Dept. of Agricultural Economics and Rural Development,
Lab. of Political Economy and European Integration.
Iera Odos 75, 11855, Athens, Greece

Tel: (+30) 210-5294726
Fax: (+30) 2105294786


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kiran Safwan
Malik
Sent: Wednesday, September 01, 2010 11:11 AM
To: 'statalist@hsphsun2.harvard.edu'
Subject: st: choosing between two non nested models

I am trying to compare two models in stata. They are non-nested and the
number of observations are not same for both models. 
I have tried "nnest" command but I assume that it works only if number of
observations are same for both models. Is it true? It says "factor variables
and time-series operators not allowed, r(101)" 
Can anyone tell me how can I compare both models? Is there any other test
except J/Cox test?

Thanks

Kiran


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