Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
RE: st: Comparing the similar model (but one in level and the other after taking the 1st difference)
From
Nick Cox <[email protected]>
To
"'[email protected]'" <[email protected]>
Subject
RE: st: Comparing the similar model (but one in level and the other after taking the 1st difference)
Date
Tue, 24 Jan 2012 15:13:17 +0000
The first part of the answer is the general reason. The log-likelihood depends on the scale of the variable. Thus comparison of likelihoods for different response variables is not a comparison of comparable cases.
The FAQ is just about a special case which illustrates this principle; no one is saying that it necessarily applies to your problem.
Nick
[email protected]
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Almutairi T.
Sent: 24 January 2012 15:00
To: [email protected]
Subject: RE: st: Comparing the similar model (but one in level and the other after taking the 1st difference)
Dear Maarten
I cant see any relation b/w my question and the link (Positive log-likelihood values happen), please explain further.
________________________________________
From: [email protected] [[email protected]] On Behalf Of Maarten Buis [[email protected]]
Sent: 24 January 2012 08:03
To: [email protected]
Subject: Re: st: Comparing the similar model (but one in level and the other after taking the 1st difference)
On Tue, Jan 24, 2012 at 1:28 AM, Almutairi T. wrote:
> I estimated the same model twice, but one in level and the other after taking the 1st difference (to get rid of AR1)
>
> I am looking for a goodness of fit measure for pooled time
> series models other than R^2 (as it is not suitable for model with unsimilar dependent variable)
>
> Does log-likelihood values (and BIC or AIC) suitable to compare b/w these 2 models?
No, that to depends on the scale of the dependent variable, see for
example: <http://blog.stata.com/2011/02/16/positive-log-likelihood-values-happen/>
*
* 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/