[Limdep Nlogit List] (no subject)
William Greene
wgreene at stern.nyu.edu
Fri Dec 15 00:11:28 EST 2006
Darren. Point 3 in my first note. You can use a Wald test, that is a t test, on the
estimate of RHO. Or, you can use a likelihood ratio test of the null (pooled) vs.
the alternative (RE).
Bill Greene
************************************************
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY 10012
Ph. 212.998.0876
Fax. 212.995.4218
URL. http://www.stern.nyu.edu/~wgreene
Email. wgreene at stern.nyu.edu
************************************************
----- Original Message -----
From: D.Lee2 at business.uq.edu.au
Date: Thursday, December 14, 2006 8:02 am
Subject: RE: [Limdep Nlogit List] (no subject)
> Hi bill, thanks for the feedback. I'm still a little confused.
>
> So how does one statistically support using a random effects model
> over a basic model in what they believe is a panel data set (but
> don't know if there is a panel data issue)?
> Best Regards,
>
> Darren Lee (Room 328)
> UQ Business School
> Colin Clark Blg
> Blair Drive
> St Lucia
> QLD, 4072
> PH: 07 33656743
> Fax: 07 33656988
> Email: darren.lee at business.uq.edu.au
>
> ________________________________
>
> From: limdep-bounces at limdep.itls.usyd.edu.au on behalf of William
> GreeneSent: Thu 14/12/2006 9:49 PM
> To: Limdep and Nlogit Mailing List
> Subject: Re: [Limdep Nlogit List] (no subject)
>
>
>
> Darren:
> (1) RHO is not "calculated." It is one of the parameters that is
> estimated by the ML procedure.
> The theory is that it equals Var[u]/{1 + Var[u]} where u is the
> random effect.
> (2) No, it is not equal to, or related to, the B&P LM test for
> random effects.
> (3) A Wald (t) test for RHO=0 is a test for the presence of random
> effects. This (and any other
> test) is better than fitting the pooled model by OLS, which I
> would not recommend under any
> circumstances.
> Regards,
> /Bill Greene
>
>
> ************************************************
> Professor William Greene
> Department of Economics
> Stern School of Business
> New York University
> 44 West 4th St., Rm. 7-78
> New York, NY 10012
> Ph. 212.998.0876
> Fax. 212.995.4218
> URL. http://www.stern.nyu.edu/~wgreene
> Email. wgreene at stern.nyu.edu
> ************************************************
>
> ----- Original Message -----
> From: D.Lee2 at business.uq.edu.au
> Date: Thursday, December 14, 2006 4:32 am
> Subject: [Limdep Nlogit List] (no subject)
>
> > Hi Guys,
> >
> >
> >
> > I am trying to ascertain what Rho means in the output of a probit
> > paneldata model.
> >
> >
> >
> > 1) How is it calculated (i.e. is there anything in the manual)?
> >
> >
> >
> > 2) Is it like the Breusch and Pagan (1890) LM test for the random
> > effects model (see page 298, Greene 2003, Econometric Analysis)?
> >
> >
> >
> > 3) Does it provide a test that the random effects model is
> better than
> > the base OLS pooled regression (if not what does in LimDep)?
> >
> >
> >
> > (Rho is highlighted in the output below)
> >
> >
> >
> > +---------------------------------------------+
> >
> > | Random Effects Binary Probit Model |
> >
> > | Maximum Likelihood Estimates |
> >
> > | Model estimated: Dec 14, 2006 at 06:57:16PM.|
> >
> > | Dependent variable BIN |
> >
> > | Weighting variable None |
> >
> > | Number of observations 678 |
> >
> > | Iterations completed 1 |
> >
> > | LM Stat. at start values 80.47393 |
> >
> > | LM statistic kept as scalar LMSTAT |
> >
> > | Log likelihood function -439.3980 |
> >
> > | Number of parameters 10 |
> >
> > | Info. Criterion: AIC = 1.32566 |
> >
> > | Finite Sample: AIC = 1.32614 |
> >
> > | Info. Criterion: BIC = 1.39231 |
> >
> > | Info. Criterion:HQIC = 1.35146 |
> >
> > | Restricted log likelihood -447.8178 |
> >
> > | Chi squared 16.83944 |
> >
> > | Degrees of freedom 1 |
> >
> > | Prob[ChiSqd > value] = .4067828E-04 |
> >
> > | Unbalanced panel has 504 individuals. |
> >
> > | Missing data: Skipped 137 individuals. |
> >
> > +---------------------------------------------+
> >
> > +---------+--------------+----------------+--------+---------+---
> --
> > -----
> > +
> >
> > |Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|>z] |
> > Mean of
> > X|
> >
> > +---------+--------------+----------------+--------+---------+---
> --
> > -----
> > +
> >
> > Constant -1.86672694 .27865089 -6.699 .0000
> >
> > Z_SCORE -.00777047 .00980270 -.793 .4280
> > 4.23746475
> > TTL_ASSE .50815559 .07045905 7.212 .0000
> > 3.62885073
> > PE_RATIO .00039061 .00031415 1.243 .2137
> > 25.1300835
> > MB_RATIO .00200406 .00679547 .295 .7681
> > 4.32215507
> > TA_COM_E -.00430420 .01020701 -.422 .6733
> > 3.15135305
> > CURRENT_ .02051882 .01975231 1.039 .2989
> > 2.09311815
> > FCF_TA -.33304236 .29198730 -1.141 .2540 -
> > .00747627
> > MARKBLE1 .69932994 .82496361 .848 .3966
> > .00386895
> > Rho .04306220 .04783482 .900 .3680
> >
> >
> >
> > Thanks for any help in advance.
> >
> >
> > Darren
> >
> > UQ Business School
> > Colin Clark Blg
> > Blair Drive
> > St Lucia
> > QLD, 4072
> > PH: 07 33656743
> > Fax: 07 33656988
> >
> > Email: darren.lee at business.uq.edu.au
> >
> >
> >
> > _______________________________________________
> > Limdep site list
> > Limdep at limdep.itls.usyd.edu.au
> > http://limdep.itls.usyd.edu.au <http://limdep.itls.usyd.edu.au/>
> >
>
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