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Re: st: deriving the BIC when the vce(robust) option is used


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: deriving the BIC when the vce(robust) option is used
Date   Thu, 29 Nov 2012 15:27:58 +0100

On Wed, Nov 28, 2012 at 11:10 PM, mario fiorini wrote:
> using Stata 11.2, I was trying to derive the Bayesian Information
> Criterion (BIC) after a regression with the vce(robust) option, and
> noted that the BIC is computed uisng the rank of e(V).

Your main problem is not determining the number coefficients used but
recovering the likelihood. As soon as you specified the -vce(robust)-
option you no longer got the likelihood but the pseudo-likelihood.
Information criteria work with distributions while quasi-likelihood
deliberately avoids those, as a consequence the two are not
compatible. So you need to choose between robust standard errors or an
information criterion; you can't have both.

Hope this helps,
Maarten

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------
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