Dear colleagues:
Stas was pretty close. I tried his suggestion, and my ml program was not
able to find feasible initial values anymore! (This strikes me as rather
odd, by the way...) So what I did was to generate (prior to defining my ml
program) a new variable called logL, and to add at the end of my ml program
which is just "replace logL = `lnf'. It now works just fine.
To answer Stas' question, I am running a Vuong test to discriminate between
two non-nested models, one of which is a bivariate probit, in order to see
which is best supported by my data.
Thanks very much, Stas' and Maarten!
Marc
At 11:04 PM 10/9/2004 +0200, you wrote:
Dear mark:
You would not generate a variable (althought you could if you really
wanted to). After any estimation command a number of statistics are
temporarily stored. You can see which by looking in the manual or type
-ereturn list-. In the example below you can see that the log likelihood
is stored in e(ll). You can use that in your calculations. See -help
return- and the manual entry for return for more information.
Example:
. sysuse auto
(1978 Automobile Data)
. quietly logit foreign weight mpg
. ereturn list
scalars:
e(N) = 74
e(ll_0) = -45.0332095569914
e(ll) = -27.17515619914122
e(df_m) = 2
e(chi2) = 35.71610671570034
e(r2_p) = .3965529779806182
macros:
e(depvar) : "foreign"
e(cmd) : "logit"
e(crittype) : "log likelihood"
e(predict) : "logit_p"
e(chi2type) : "LR"
matrices:
e(b) : 1 x 3
e(V) : 3 x 3
functions:
e(sample)
. di e(ll)
-27.175156
Maarten
-----Original Message-----
From: Marc F. Bellemare [mailto:[email protected]]
Sent: Sat 10/9/2004 10:44 PM
To: [email protected]
Cc:
Subject: st: Log-Likelihood of Each Observation
Dear colleagues:
I was wondering if anyone knew how to generate a variable equal to the
log-likelihood of a model just evaluated (either when using the ml subset
of command or not). I would need such a variable to compute the test
statistic for a Vuong (1989) test.
Cheers,
Marc
__________
Marc F. Bellemare
Ph.D. Candidate
Department of Applied Economics and Management
Cornell University
Ithaca, NY 14853-7801
http://www.people.cornell.edu/pages/mfb24
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
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* http://www.ats.ucla.edu/stat/stata/
__________
Marc F. Bellemare
Ph.D. Candidate
Department of Applied Economics and Management
Cornell University
Ithaca, NY 14853-7801
http://www.people.cornell.edu/pages/mfb24
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
