Re: st: Nonlinear LR Test in SUR context

[Gernot Wagner <gwagner@fas.harvard.edu>]

Maarten,

Thank you for your quick response. Unfortunately, the Wald test is not 
consistent across different nonlinear specifications. Testing A B = C D 
gives different results from A = C D/B. That's why we wanted to try the 
LR-test.

Do you or anybody else on this list happen to have an example of a 
program that contains such a sureg-like program to compare log 
likelihoods?

Thank you!
Gernot

79 JFK Street B315
Cambridge MA 02138
Phone 617-642-4070
http://gwagner.com

On Nov 21, 2006, at 1:34 AM, Maarten buis wrote:


> --- Gernot Wagner <gwagner@fas.harvard.edu> wrote:
> > How do I implement a nonlinear likelihood-ratio test in a SUR
> > context?
> Gernot:
> You can do a Wald-type test based on the delta method with -testnl- or
> -nlcom-. See the example below. If you really want to do the likelihood
> ratio test then you'll have to program a -sureg-like program that
> contains the constraint yourself and compare the log likelihoods. I
> don't think that is worth the effort, given the availability of
> -testnl- and -nlcom-.
>
> HTH,
> Maarten
>
>
> *---------- begin example -----------------
> sysuse auto, clear
> sureg (price foreign weight length) (mpg displ = foreign weight)
> testnl _b[price:foreign]/_b[mpg:weight]=_b[price:length]
> return list
> nlcom example:_b[price:foreign]/_b[mpg:weight]-_b[price:length], post
> di %18.14f (_b[example]/_se[example])^2
> /*compare with chi2 from -testnl-*/
> *------------- end example ----------------
>
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
> Vrije Universiteit Amsterdam
> Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
>
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room Z434
>
> +31 20 5986715
>
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
>
>
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