Re: st: cmp and Vuong test

[Christoph Rheinberger <chrisrh@ymail.com>]

Thanks Arne,
After updating -cmp- from SCC, I am now able to use the cmp command 
"predict XXX, lnl" as outlined by David. However, for right censored 
data points the command does not yield observation-level log 
likelihoods. Even when I try a simple interval regression:
cmp (WTP: low_bid high_bid = X1 X2 X3), ind($cmp_int).
Is there a remedy?

Chris

@Nick Cox: "Chris Rh" is willing to learn from the kind advices of 
Master Cox

Am 02.11.2012 09:37, schrieb Chris Rh:
> David, thanks for the advice.
> Unfortunately,  Stata keeps telling me that "option lnl not allowed" 
> although our model seems pretty standard:
> cmp (RISK: risk= X1 X2 X3 Z1 Z2) (WTP: low_bid high_bid = X1 X2 X3), 
> ind($cmp_oprobit $cmp_int)
> This is all the more puzzling because I can estimate the scores 
> (predict XXX, score), thus the likelihood must be stored somewhere. 
> Also, I shall mention that you don't list lnl as a valid option for 
> predict in the --cmp help file. Can you give me any other hint how to 
> retrieve the observation-level ll?
> Thanks,
> Chris
>
>
>
> Am 02.11.2012 04:15, schrieb David Roodman (droodman@cgdev.org):
> > You need the observation-level log likelihoods? You can get them 
> > post-estimation by typing "predict XXX, lnl" where XXX is the name of 
> > a new variable.
> >
> > --David
> >
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu]
> > Sent: Thursday, November 01, 2012 2:33 PM
> > To: statalist-digest@hsphsun2.harvard.edu
> > Subject: st: cmp and Vuong test
> > Dear all,
> > we have fitted a limited dependent variable model using David 
> > Roodman's cmp command and want to do a Vuong test (Vuong, Ectrica 
> > 1989) for model selection. Is there a way to save the individual 
> > likelihoods when running cmp models? If not how can we extract the 
> > individual likelihoods?
> >
> > Thanks
> > Chris
> >
> >
> > *
> > *   For searches and help try:
> > *   http://www.stata.com/help.cgi?search
> > *   http://www.stata.com/support/faqs/resources/statalist-faq/
> > *   http://www.ats.ucla.edu/stat/stata/

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/