On Tue, Apr 22, 2008 at 12:15 PM, Rodrigo Alfaro A. <[email protected]> wrote:
> 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).
BIC is not applicable to neither panel models nor GMM, at least in
direct way. It is derived as an approximation of the Bayes factor for
model selection, in a number of situations it gives a poor
approximation, and at any rate it needs a concept of the likelihood to
work with, and those models do not provide for likelihood.
Entertain a very simple question: even if you want to construct an
analogue of BIC for panel data, should your n be the number of panels
or the number of observations?
--
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: Please do not reply to my Gmail address as I don't check
it regularly.
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