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Re: st: cmp and Vuong test


From   Arne Risa Hole <arnehole@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: cmp and Vuong test
Date   Fri, 2 Nov 2012 10:01:20 +0000

Chris

Do you have the most recent version of -cmp-? Update the command (ssc
install cmp, replace) and try again.

Arne

On 2 November 2012 08:37, Chris Rh <chrisrh@ymail.com> wrote:
> David, thanks for the advice.
> 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
>>
>>
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