Lorena,
You are right, there is not e(ll) in the output of -xtpcse- I am not sure about the model behind that command, but it seems to me that you need the matrix e(Sigma) along with the degree of freedom (in this case e(df) is the scalar), and the sample size: e(N).
Rodrigo.
-----Mensaje original-----
De: [email protected] [mailto:[email protected]] En nombre de Lorena Barberia
Enviado el: Martes, 22 de Abril de 2008 12:56 p.m.
Para: [email protected]
Asunto: RE: st: Using Bayesian Information Criterion (BIC)
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
>
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