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RE: st: Comparing the similar model (but one in level and the other after taking the 1st difference)


From   "Almutairi T." <T.Almutairi@soton.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Comparing the similar model (but one in level and the other after taking the 1st difference)
Date   Tue, 24 Jan 2012 15:26:53 +0000

Dear Nick and Maarten

In this case how to compare bewtween the two models if R^2, LL & IC are not appropriate?

Also: Does xtpcse or xtgls commands (with option AR1) are simply taking the first difference of all variables to ensure the treatment 
of autocorrelateion?? 

Regards

Talal

University of Southampton
________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox [n.j.cox@durham.ac.uk]
Sent: 24 January 2012 15:13
To: 'statalist@hsphsun2.harvard.edu'
Subject: RE: st: Comparing the similar model (but one in level and the other after taking the 1st difference)

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
n.j.cox@durham.ac.uk


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Almutairi T.
Sent: 24 January 2012 15:00
To: statalist@hsphsun2.harvard.edu
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: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten Buis [maartenlbuis@gmail.com]
Sent: 24 January 2012 08:03
To: statalist@hsphsun2.harvard.edu
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/>


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