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From |
"Eva Poen" <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Likelihood-ratio test for frontier models |

Date |
Tue, 16 Sep 2008 15:01:04 +0100 |

Monika, with regard to your first question: A missing for ll(null) in the output of -lrtest- is nothing to worry about (and if you look back in your output, they should be missing in your estimations already). The null likelihood refers to the likelihood of a model where the only explanatory variable is a constant. If you did not include a constant term in your models (option -nocons-), Stata will report a missing value for e(ll_0) in the regression output, and also in the output of -lrtest-. This doesn't interfer with the actual likelihood ratio test that -lrtest- performs (it compares the likelihood of a restricted and an unrestricted model). Martin already commented on how to interpret the test result. Eva 2008/9/16 Monika Baron <[email protected]>: > Hello everyone! > > I'm modelling a Stochastic Cost Frontier with the command frontier. > I'm trying to find the model's best functional form by using a > Likelihood-ratio test. > > My output: > ******** > . lrtest A B, stats > > Likelihood-ratio test LR chi2(6) = 49.42 > (Assumption: B nested in A) Prob > chi2 = 0.0000 > > ----------------------------------------------------------------------------- > Model | Obs ll(null) ll(model) df AIC BIC > -------------+--------------------------------------------------------------- > B | 439 . 548.5923 17 -1063.185 -993.748 > A | 439 . 573.3007 23 -1100.601 -1006.658 > ----------------------------------------------------------------------------- > Note: N=Obs used in calculating BIC; see [R] BIC note > > ********* > > 1. Why are there no ll(null) in the statistics? > > 2. What do the results imply? Which model should I choose? * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Likelihood-ratio test for frontier models***From:*"Monika Baron" <[email protected]>

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