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From |
Richard Williams <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Re: Problems with -hetgrot- |

Date |
Sun, 14 Mar 2004 19:38:59 -0500 |

At 06:14 PM 3/14/2004 -0600, Scott Merryman wrote:

Richard,I did the same thing! But if he has an error, I don't think that is where it is. In Greene, 4th edition, p. 597, he says that iterated fgls (the Model 3 I presented) can be used to compute the LR statistic. But, he also says that "If only least squares results are available...[they may be used], possibly with some loss of power in small samples." That is what your above calculation does; it uses the least squares estimates rather than the ML estimates.

I believe there is an error in Greene's text. As you reported, Greene gives the

LR statistics as 120.915. However, if you compute this by hand, given the

individual sigma^2, the result is:

. disp 100*ln(15708.84) - 20*(ln(9410.91) + ln(755.85) + ln(34288.49) +

ln(633.42) + ln(33455.51))

104.41512

which is what you and I got.

What Greene apparently does is use the estimate of sigma from the OLS estimates (15708.84) with the ML estimates for the group sigmas. The calculation (using the #s reported on p. 598_ is

. disp 100*ln(15708.84) - 20*(ln(8657.72) + ln(175.80) + ln(40210.96) + ln(1240.03) + ln(29825.21))

120.92892

What I don't understand is why he is using the 15708.84 from the least squares estimates, rather than using a ML estimate of sigma. This would seem to be inconsistent with what he says on the middle of p. 597.

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**Follow-Ups**:**Re: st: Re: Problems with -hetgrot-***From:*Richard Williams <[email protected]>

**Re: st: Re: Problems with -hetgrot-***From:*"Scott Merryman" <[email protected]>

**References**:**st: updates to -egenmore- on SSC***From:*"Nick Cox" <[email protected]>

**st: Problems with -hetgrot-***From:*"Clive Nicholas" <[email protected]>

**Re: st: Re: Problems with -hetgrot-***From:*Richard Williams <[email protected]>

**Re: st: Re: Problems with -hetgrot-***From:*"Scott Merryman" <[email protected]>

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