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Re: st: RE: AIC xtpcse

From   ghislain dutheil <[email protected]>
To   [email protected]
Subject   Re: st: RE: AIC xtpcse
Date   Sat, 30 Aug 2008 11:15:39 +0200

Stas Kolenikov a �crit :
> On 8/27/08, Martin Weiss <[email protected]> wrote:
>> Try
>>  **********
>>  webuse grunfeld, clear
>>     xtset company year, yearly
>>     xtpcse invest mvalue kstoc
>>         eret li
>>     estimates store new
>>  estimates table new, stats(aic) style(oneline)
>>  **********
>>  to see that this is the normal behavior. Likely explanation: -xtpcse- does
>>  not return the information you are asking for. Type -eret li- to see what it
>>  does return.
> Deeper explanation: what's the sample size you want to plug in to
> compute BIC? # of panels or the total # of observations? Or some
> effective # in between? The AIC and BIC are derived as certain
> asymptotic approximations for i.i.d. data. Their generalizations to
> clustered/structured/hierarchical data are not straightforward, so it
> makes perfect sense that Stata DOES NOT report them and thus protects
> you from using unjustified methods.

That's to say that i can't have a criteria to choose between my models 
when i use xtpcse... Is there others criteria i can use?


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