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From |
Richard Williams <[email protected]> |

To |
"[email protected]" <[email protected]>, statalist <[email protected]> |

Subject |
Re: st: Model selection using AIC/BIC and other information criteria |

Date |
Tue, 23 Jun 2009 21:20:28 -0500 |

At 06:07 PM 6/23/2009, kokootchke wrote:

Dear all,I have a model that says that the return or yield spread of a bondissued by a country depends non-linearly on the country'sprobability of default. If I assume that this probability of defaultfollows a logistic form, I get that the log spread depends linearlyon "stuff" which I take to be macroeconomic variables. To choose thebest model, I use AIC/BIC.One interesting fact I observe is that in some cases, I see thatboth AIC and BIC select a model that contains some variable X evenwhen a lot of data points are missing for that particular variable,which means I actually lose a lot of observations when I includesuch variable X.More specifically, I have: MODEL 1 regress log_spread a b c X estat ic which gives AIC = 915 then, MODEL 2 regress log_spread a b c estat ic which gives AIC = 1500but the OLS in model 1 uses 1200 observations while the OLS in model2 uses 2800 observations (because 1600 observations are missing invariable X)!!You would think that this would be because X is very relevant toexplain the spread, but in fact I see some cases when this variableis statistically insignificant!!

I'm guessing a fairer comparison would be nestreg, lr: reg log_spread (a b c) X

------------------------------------------- Richard Williams, Notre Dame Dept of Sociology OFFICE: (574)631-6668, (574)631-6463 HOME: (574)289-5227 EMAIL: [email protected] WWW: http://www.nd.edu/~rwilliam * * 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/

**Follow-Ups**:

**References**:**st: Analyze a subpopulation of survey data in Stata 10.1***From:*"Karadogan, Figen" <[email protected]>

**st: Model selection using AIC/BIC and other information criteria***From:*kokootchke <[email protected]>

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