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st: [Non Stata] Testing nested models with clustering

From   Antoine Terracol <>
Subject   st: [Non Stata] Testing nested models with clustering
Date   Tue, 16 Jun 2009 10:18:55 +0200

Dear _all,

I have estimated two models using -ml-. The two models are nested, and model B is equivalent to model A if some parameter delta is equal to zero.

I have clustered standard errors, and thus cannot use a LR test to test B against A. Moreover, delta is constrained in (0,1) through a logistic transformation.

In -heckman- with -cluster()-, the corresponding test is a Wald test of atanh(rho)=0; but in -streg, frailty()- with -cluster()-, no test is performed for the null that there is no heterogeneity (without clustering, a LR test for theta=0 is performed).

Should I infer that there is no proper (and simple) way to test for nested models with clustering when the additional parameter is constrained, and the null is on the boundary?



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