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From |
mario fiorini <mariofiorini73@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 30 Nov 2012 10:16:03 +1100 |

thanks Maarten. Still I am not sure I get it 100%. In Stata the BIC is computed according to BIC = -2*ln(likelihood) + ln(N)*k and Stata uses - e(ll) for the likelihood - e(V) for k - e(N) for N Now, e(ll) is the same irrespectively of whether I use vce(robust) or not. The same is true for e(N). The only difference is e(V). I still don't understand why Stata reports a different e(V) and most importantly, a different e(df_m) depending on whether vce(robust) is used. In my example I mentioned the problem of having a variable that is nonzero for only 1 observation in the estimation sample. Note that, if this does not happen, e(V), e(df_m) and the BIC are the same irrespectively of whether I use vce(robust) or not. So while I take your argument, I think it is unclear why the dummy case impacts the reported e(df_m) and the BIC. In any case, Stata output should explain what you just mentioned about the pseudo-likelihood. I don't think that's so obvious. thanks for taking the time to reply, Mario On 30 November 2012 01:27, Maarten Buis <maartenlbuis@gmail.com> wrote: > 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 > --------------------------------- > * > * 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/ * * 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/

**References**:**st: deriving the BIC when the vce(robust) option is used***From:*mario fiorini <mariofiorini73@gmail.com>

**Re: st: deriving the BIC when the vce(robust) option is used***From:*Maarten Buis <maartenlbuis@gmail.com>

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