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Re: st: cmp and Vuong test


From   Christoph Rheinberger <chrisrh@ymail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: cmp and Vuong test
Date   Wed, 14 Nov 2012 11:24:50 +0100

Thanks Arne,
After updating -cmp- from SCC, I am now able to use the cmp command "predict XXX, lnl" as outlined by David. However, for right censored data points the command does not yield observation-level log likelihoods. Even when I try a simple interval regression:
cmp (WTP: low_bid high_bid = X1 X2 X3), ind($cmp_int).
Is there a remedy?

Chris

@Nick Cox: "Chris Rh" is willing to learn from the kind advices of Master Cox

Am 02.11.2012 09:37, schrieb Chris Rh:
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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