I have a similar question. I would like to use the BIC to compare different
estimations. Specifically, I am trying to estimate models with panel
corrected standard errors (XTPCSE) and GMM First Difference and System
estimators. After both commands, I tried to issue the command estat ic. I
receive the following error message "likelihood information not found in
last estimation results."
I tried to follow Rodrigo's instructions below, but I am not able to receive
the BIC for each model. I am not sure what I am doing wrong, but I could not
get the result.
Thanks for any help anyone can offer,
Lorena
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Rodrigo Alfaro A.
Sent: Monday, April 21, 2008 4:11 PM
To: [email protected]
Cc: Beat Hintermann
Subject: RE: st: Using Bayesian Information Criterion (BIC)
Type after your reg
local bic = -2*e(ll) + log(e(N)) * (e(N) - e(df_r))
or
gen double newvar = -2*e(ll) + log(e(N)) * (e(N) - e(df_r))
* Example
sysuse auto
reg price mpg headroom trunk
di -2*e(ll) + log(e(N)) * (e(N) - e(df_r))
estat ic
Rodrigo.
-----Mensaje original-----
De: [email protected]
[mailto:[email protected]] En nombre de Jeph Herrin
Enviado el: Lunes, 21 de Abril de 2008 02:48 p.m.
Para: [email protected]
Asunto: Re: st: Using Bayesian Information Criterion (BIC)
estat ic
matrix S=r(S)
gen BIC=S[1,6]
Creates the variable you want.
hth,
Jeph
Beat Hintermann wrote:
> Hi there
>
> I know how to display the BIC by typing estat(ic), but I can't seem to
> figure out how to use it in a calculation.
>
> For example, I'd like to create a variable that takes the value of the
> BIC of the last regression. gen newvar=e(BIC) or something along those
> lines does not seem to work. Can anyone help?
>
> Beat
>
> * * 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/
>
*
* For searches and help try:
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* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
****************************************************************************
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