[Limdep Nlogit List] Controlling for number of parameters in model selection tests
Mikołaj Czajkowski
miq at wne.uw.edu.pl
Sat Oct 4 20:13:48 EST 2008
Dear All,
I am using the Vuong test as a model-selection test, when choosing
between NL, ECM, RPL, MNP etc.
In order to control for number of parameters in different models I want
to use the Schwarz's (1978) correction based on Bayesian Information
criteria, that is subtracting:
- ( (p/2)ln(n) - (q/2)ln(n) )
from the usual Voung test statistic. (where p and q are numbers of
parameters in models 1 and 2 respectively).
Now this might be a simple question, I would like to consult my
understanding of this. My question regards NL. After estimating the
model the output would give parameter estimates, IV estimates and
Underlying standard deviation. This way B matrix contains also the
results for underlying standard deviation for each IV parameter.
(1) Should these standard deviations be counted as parameters of the
model or not?
(2) In addition - if one of the IV parameters is restricted (say to 1 or
two parameters restricted to be equal) should they be counted as
separate parameters anyway?
Thank you very much in advance for your help.
Best regards,
--
Mikołaj Czajkowski
Warsaw Ecological Economics Center
Warsaw University
http://www.woee.pl/
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