Unfortunately, Stata keeps telling me that "option lnl not allowed"
although our model seems pretty standard:
cmp (RISK: risk= X1 X2 X3 Z1 Z2) (WTP: low_bid high_bid = X1 X2 X3),
ind($cmp_oprobit $cmp_int)
This is all the more puzzling because I can estimate the scores (predict
XXX, score), thus the likelihood must be stored somewhere. Also, I shall
mention that you don't list lnl as a valid option for predict in the
--cmp help file. Can you give me any other hint how to retrieve the
observation-level ll?
Thanks,
Chris
Am 02.11.2012 04:15, schrieb David Roodman (droodman@cgdev.org):
You need the observation-level log likelihoods? You can get them post-estimation by typing "predict XXX, lnl" where XXX is the name of a new variable.
--David
-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu]
Sent: Thursday, November 01, 2012 2:33 PM
To: statalist-digest@hsphsun2.harvard.edu
Subject: st: cmp and Vuong test
Dear all,
we have fitted a limited dependent variable model using David Roodman's cmp command and want to do a Vuong test (Vuong, Ectrica 1989) for model selection. Is there a way to save the individual likelihoods when running cmp models? If not how can we extract the individual likelihoods?
Thanks
Chris
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/
