Dear Statalisters,
I am comparing 2 models estimated using -arima-. When I run -lrtest-
afterwards, I get the following:
lrtest v2 v1
(log likelihoods of null models cannot be compared)
Likelihood-ratio test LR chi2(5) = 9.11
(Assumption: v1 nested in v2) Prob > chi2 = 0.1048
What does the first message in parentheses mean? Does this mean that the
results of the LR test shown are invalid?
Thanks,
Danielle Ferry
--
National Bureau of Economic Research <http://www.nber.org>
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