st: Re: how to select model in xtpcse , corr(ar1)

[Christopher Baum <baum@bc.edu>]

< >
Ghislain said
I want to compare two models one made with : xtpcse x y z,corr(ar1)  
the other with : xtpcse x y w,corr(ar1) xtpcse doesn't return AIC nor  
BIC nor e(ll),

Martin suggests looking at r^2.  AIC and BIC are criteria that will  
penalize for non-parsimonious models. As both of the models you  
specify have exactly the same length, they would not be useful. They  
are not estimated with maximum likelihood, so there is no e(ll). [OLS  
is not estimated with MLE either, but -regress- does provide e(ll)].   
As r^2 is perfectly comparable for models of the same length, r^2  
would seem to make sense as a comparison.

I would worry more about the notion that if each of these models does  
a good job, with a significant z or w respectively, then there is  
surely the risk that they are both misspecified versions of a model  
that contains both. Can you indeed rule out w appearing in the first  
model, or z in the second?


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html

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