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From | Nick Cox <n.j.cox@durham.ac.uk> |
To | "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> |
Subject | RE: st: Comparing the similar model (but one in level and the other after taking the 1st difference) |
Date | Tue, 24 Jan 2012 15:13:17 +0000 |
The first part of the answer is the general reason. The log-likelihood depends on the scale of the variable. Thus comparison of likelihoods for different response variables is not a comparison of comparable cases. The FAQ is just about a special case which illustrates this principle; no one is saying that it necessarily applies to your problem. Nick n.j.cox@durham.ac.uk -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Almutairi T. Sent: 24 January 2012 15:00 To: statalist@hsphsun2.harvard.edu Subject: RE: st: Comparing the similar model (but one in level and the other after taking the 1st difference) Dear Maarten I cant see any relation b/w my question and the link (Positive log-likelihood values happen), please explain further. ________________________________________ From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten Buis [maartenlbuis@gmail.com] Sent: 24 January 2012 08:03 To: statalist@hsphsun2.harvard.edu Subject: Re: st: Comparing the similar model (but one in level and the other after taking the 1st difference) On Tue, Jan 24, 2012 at 1:28 AM, Almutairi T. wrote: > I estimated the same model twice, but one in level and the other after taking the 1st difference (to get rid of AR1) > > I am looking for a goodness of fit measure for pooled time > series models other than R^2 (as it is not suitable for model with unsimilar dependent variable) > > Does log-likelihood values (and BIC or AIC) suitable to compare b/w these 2 models? No, that to depends on the scale of the dependent variable, see for example: <http://blog.stata.com/2011/02/16/positive-log-likelihood-values-happen/> * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/