**[R] nestreg** -- Nested model statistics

__Syntax__

Standard estimation command syntax

**nestreg** [**,** *options* ] **:** *command_name* *depvar* **(***varlist***)** [**(***varlist***)** ...]
[*if*] [*in*] [*weight*] [**,** *command_options*]

Survey estimation command syntax

**nestreg** [**,** *options*] **:** **svy** [*vcetype*] [**,** *svy_options*] **:** *command_name*
*depvar* **(***varlist***)** [**(***varlist***)** ...] [*if*] [*in*] [**,**
*command_options*]

*options* Description
-------------------------------------------------------------------------
Reporting
__wald__**table** report Wald test results; the default
__lr__**table** report likelihood-ratio test results
__qui__**etly** suppress any output from *command_name*
**store(***stub***)** store nested estimation results in **_est_***stub#*
-------------------------------------------------------------------------
**by** is allowed; see prefix.
Weights are allowed if *command_name* allows them; see weight.
A *varlist* in parentheses indicates that this list of variables is to be
considered as a block. Each variable in a *varlist* not bound in
parentheses will be treated as its own block.
All postestimation commands behave as they would after *command_name*
without the **nestreg** prefix; see the postestimation manual entry for
*command_name*.

__Menu__

**Statistics > Other > Nested model statistics**

__Description__

**nestreg** fits nested models by sequentially adding blocks of variables and
then reports comparison tests between the nested models.

__Options__

+-----------+
----+ Reporting +--------------------------------------------------------

**waldtable** specifies that the table of Wald test results be reported.
**waldtable** is the default.

**lrtable** specifies that the table of likelihood-ratio tests be reported.
This option is not allowed if **pweight**s, the **vce(robust)** option, or
the **vce(cluster** *clustvar***)** option is specified. **lrtable** is also not
allowed with the **svy** prefix.

**quietly** suppresses the display of any output from *command_name*.

**store(***stub***)** specifies that each model fit by **nestreg** be stored under the
name **_est_***stub#*, where *#* is the nesting order from first to last.

__Remarks__

Remarks are presented under the following headings:

Estimation commands
Wald tests
Likelihood-ratio tests
Programming for nestreg

__Estimation commands__

**nestreg** removes collinear predictors and observations with missing values
from the estimation sample before calling *command_name*.

The following Stata commands are supported by **nestreg**:

**betareg**, **clogit**, **cloglog**, **glm**, **intreg**, **logistic**, **logit**, **nbreg**,
**ologit**, **oprobit**, **poisson**, **probit**, **qreg**, **regress**, **scobit**, **stcox**,
**stcrreg**, **stintreg**, **streg**, and **tobit**

You do not supply a *depvar* for **stcox**, **stcrreg**, **stintreg**, or **streg**;
otherwise, *depvar* is required. You must supply two *depvar*s for **intreg**.

__Wald tests__

We wish to test the significance of the following predictors of birth
rate: **medage**, **medagesq**, and **region** (already partitioned into four
indicator variables, **reg1**, **reg2**, **reg3**, and **reg4**).

**. webuse census4**
**. nestreg: regress brate (medage) (medagesq) (reg2-reg4)**

This single call to **nestreg** ran **regress** three times, adding a block of
predictors to the model for each run as in

**. regress brate medage**
**. regress brate medage medagesq**
**. regress brate medage medagesq reg2-reg4**

**nestreg** collected the F statistic for the corresponding block of
predictors and the model R-squared statistic from each model fit.

The F statistic for the first block, 164.72, is for a test of the joint
significance of the first block of variables; it is simply the F
statistic from the regression of **brate** on **medage**. The F statistic for
the second block, 35.25, is for a test of the joint significance of the
second block of variables in a regression of both the first and second
blocks of variables. In our example it is an F test of **medagesq** in the
regression of **brate** on **medage** and **medagesq**. Similarly, the third block's
F statistic of 8.85 corresponds to a joint test of **reg2**, **reg3**, and **reg4**
in the final regression.

__Likelihood-ratio tests__

The **nestreg** command provides a simple syntax for performing
likelihood-ratio tests for nested model specifications; also see **[R]**
**lrtest**. Using the data from the first example of **[R] lrtest**, we wish to
jointly test the significance of the following predictors of low
birthweight: **age**, **lwt**, **ptl**, and **ht**.

**. webuse lbw**
**. xi: nestreg, lr: logistic low (i.race smoke ui) (age lwt ptl ht)**

The estimation results from the full model are left in **e()**, so we can
later use **estat** and other postestimation commands.

**. estat gof**

__Programming for nestreg__

If you want your community-contributed command (*command_name*) to work
with **nestreg**, it must follow standard Stata syntax and allow the **if**
qualifier. Furthermore, *command_name* must have **sw** or **swml** as a program
property; see **[P] program properties**. If *command_name* has **swml** as a
property, *command_name* must store the log-likelihood value in **e(ll)** and
the model degrees of freedom in **e(df_m)**.

__Stored results__

**nestreg** stores the following in **r()**:

Matrices
**r(wald)** matrix corresponding to the Wald table
**r(lr)** matrix corresponding to the likelihood-ratio table