Re: st: nestreg discrepancy

[Richard Williams <Richard.A.Williams.5@ND.edu>]

At 01:54 PM 12/3/2009, Eduardo Nunez wrote:
> Hi everyone,
>
> I apologize if this is a naive question, but what I understand is that
> the LR test p-value should be close to the p-value obtained from t (or
> wald statistic).
> That's why I wonder the huge discrepancy I got (the likelihood ratio
> test p-value estimated with nestreg differs so dramatically from the t
> statistic p-value from regress).
> Here are the results (see block 5=fe_i and block 6=lnai....both
> variables are continuous):
>
> . xi: regress fc_i edad tas_i tad_i lnhb fe_i lnai lnlinfos lnpcr
> ingprevio i.sexo*i.acxfa hta bcrdhh diuretico_previo iecaprevia
> bbloq_previo tnihigh
> ...
>      tnihigh 
> |   6.651076   1.666292     3.99   0.000     3.381331    9.920821
>        _cons 
> |   -1037.17   314.5672    -3.30   0.001    -1654.442   -419.8988
> ------------------------------------------------------------------------------
>
> . xi: nestreg, lr quietly: regress fc_i edad tas_i tad_i lnhb fe_i
> lnai lnlinfos lnpcr ingprevio i.sexo*i.acxfa hta bcrdhh
> diuretico_previo iecaprevia bbloq_previo tnihigh...
>   |    18 | -4719.984    16.10      1   0.0001  9477.968  9571.978 |
>   +----------------------------------------------------------------+
I'm not seeing the discrepancy either.  Only the original regress 
command and the final model produced by nestreg are directly 
comparable.  In the regress command, the t value for tnihigh is 
3.99.  For the final nestreg model, the LR chi-square for adding 
tnihigh is 16.10, or about 3.99^2.  It looks good to me.  You can't 
go looking at all the intermediate models and expect the p-values for 
those models (where many variables have yet to be entered) to be the 
same as the p-values in the final model, where all the vars have been entered.

-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME:   (574)289-5227
EMAIL:  Richard.A.Williams.5@ND.Edu
WWW:    http://www.nd.edu/~rwilliam

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