# Re: st: Re: Problems with -hetgrot-

 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

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