SHAZAM Questions and Answers (Q&A) - RSS feedhttp://community.econometrics.com/questions/SHAZAM Econometrics, Statistics and Analytics Communityen<font color="white">Copyright <b>SHAZAM Analytics, 2018</b></font>Thu, 08 Aug 2013 05:07:18 +0000Hypothesis Tests with pooled regressionhttp://community.econometrics.com/question/257/hypothesis-tests-with-pooled-regression/I am trying to conduct a joint hypothesis test on parameters from a pooled regression
(with PCSE and AR1 correction). One regression is restricted to have fewer variables (i.e. some Betas set = 0). The log likelihood function for the the restricted model is larger than the restricted model. The unrestricted model has 2 vectors of explanatory variables X1 and X2 and the restriced model just has vector X1. Shouldn't the log likelihood of the unrestricted model be larger? What am I missing here?Wed, 17 Apr 2013 22:39:20 +0000http://community.econometrics.com/question/257/hypothesis-tests-with-pooled-regression/Answer by SHAZAMHelp for <p>I am trying to conduct a joint hypothesis test on parameters from a pooled regression
(with PCSE and AR1 correction). One regression is restricted to have fewer variables (i.e. some Betas set = 0). The log likelihood function for the the restricted model is larger than the restricted model. The unrestricted model has 2 vectors of explanatory variables X1 and X2 and the restriced model just has vector X1. Shouldn't the log likelihood of the unrestricted model be larger? What am I missing here?</p>
http://community.econometrics.com/question/257/hypothesis-tests-with-pooled-regression/?answer=349#post-id-349An unrestricted model should have a higher LLF than the restricted model in this circumstance.
Can you post the model and data so we can look closer at this? It is likely a problem with the structure of the model or the data.Thu, 08 Aug 2013 05:07:18 +0000http://community.econometrics.com/question/257/hypothesis-tests-with-pooled-regression/?answer=349#post-id-349