On 8/27/08, Martin Weiss <[email protected]> wrote:
> Try
>
> **********
> webuse grunfeld, clear
> xtset company year, yearly
> xtpcse invest mvalue kstoc
> eret li
> estimates store new
> estimates table new, stats(aic) style(oneline)
> **********
>
> to see that this is the normal behavior. Likely explanation: -xtpcse- does
> not return the information you are asking for. Type -eret li- to see what it
> does return.
Deeper explanation: what's the sample size you want to plug in to
compute BIC? # of panels or the total # of observations? Or some
effective # in between? The AIC and BIC are derived as certain
asymptotic approximations for i.i.d. data. Their generalizations to
clustered/structured/hierarchical data are not straightforward, so it
makes perfect sense that Stata DOES NOT report them and thus protects
you from using unjustified methods.
--
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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