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From |
"Scott Merryman" <[email protected]> |

To |
<[email protected]> |

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

Date |
Sun, 14 Mar 2004 21:36:24 -0600 |

----- Original Message ----- From: "Richard Williams" <[email protected]> To: <[email protected]> Sent: Sunday, March 14, 2004 6:38 PM Subject: Re: st: Re: Problems with -hetgrot- > At 06:14 PM 3/14/2004 -0600, Scott Merryman wrote: > >Richard, > > > >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. > > 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. > > 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. > Richard, Thanks, I breezed right past this when looking at table 15.1. Scott * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**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:*Richard Williams <[email protected]>

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