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Re: st: no log likelihood ratio test after nbreg??

From   [email protected]
To   [email protected]
Subject   Re: st: no log likelihood ratio test after nbreg??
Date   Thu, 10 Mar 2005 16:54:39 -0500 (EST)

thanks. I was indeed using pweight in nbreg regression.  Then it seems the
Wald test will be appropriate.  But I checked the STATA document and it
says: "after the manuals were printed, we revisited this subject and
discovered that we did not, in fact, want to include this test (Wald). The
likelihood-ratio test is the only test that one should consider in these
limiting cases".  So do I simply use the wald test reported above the
coefficient table?

Thanks again.

> At 03:40 PM 3/10/2005 -0500, [email protected] wrote:
>>Hi, all,
>>Usually there is a log likelikhood ratio test statistics reported after a
>>negative binominal regression (I ran possion regression first, and then
>>used 'nbreg' regression), and sometimes the Z score for alpha is reported
>>too.  But in my case, I didn't see the ratio reported after the
>>regression, and there is no z score for alpha.  Then I tried to use
>>'lrtest' after the model, but it says
>>"lrtest not valid after robust
>>specify force option to perform test anyway".
>>So I put 'force' in option, but it still didn't give me the result.
>>Can anybody tell me what's going on?
> Sounds like you used the robust option.  There is some discussion of this
> on p. 28 of the Stata 8 Survey Data Manual. It says that "pseudo-maximum
> likelihood methods" (which get used with robust standard errors) are not
> "true likelihoods" and hence "standard LR tests are no longer valid".
> For more, see the FAQ "Why should I not do a likelihood-ratio test after
> an
> ML estimation (e.g., logit, probit) with clustering or pweights?" at
> Other related FAQs are at
> -------------------------------------------
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Ying Wang
Ph.D. Candidate
Department of Public Policy
University of Maryland, Baltimore County
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Baltimore, MD 21228
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