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st: model selection using information criteria with xtlsdvc or xtabond2
From
Sebastian Petrick <sebastian.petrick@ifw-kiel.de>
To
STATALIST <statalist@hsphsun2.harvard.edu>
Subject
st: model selection using information criteria with xtlsdvc or xtabond2
Date
Tue, 22 Nov 2011 17:34:24 -0800
Dear statalisters,
I am running a highly unbalanced large-T, small-N (T: ~30, N: ~50-150)
dynamic panel estimation using Bruno's xtlsdvc estimator. Naturally,
the estimator doesn't provide information on the log-likelihood (as
does xtabond/xtabond2). I still would like to do model selection using
the standard information criteria, like Akaike's AIC or the BIC. Is
there a well-functioning work-around avoiding the use of the
log-likelihood?
Thanks
Sebastian
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