I'm trying to do the likelihood ratio test between two linear models. What command should I use. I used the command, but did not yield any result.
the command:
scalar lr = -2*(modelolinear2.@logl - modelolinear1.@logl)
scalar q =1
scalar lr_pval = 1 - @cchisq(lr,q)
Search found 2 matches
- Fri Jul 20, 2012 8:24 am
- Forum: Programming
- Topic: Likelihood ratio test
- Replies: 4
- Views: 3948
- Tue Nov 22, 2011 8:58 am
- Forum: Estimation
- Topic: time-varying asymmetries using kalman filter
- Replies: 1
- Views: 1788
time-varying asymmetries using kalman filter
I am trying to estimate using Kalman filter time-varying asymmetries. I am following ikeda 2010. How to creating the state-space equations in EViews?. The paper is time-varying asymmetries in central bank preferences: the case of ECB.