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A cautionary note on goodness-of-fit statistics for models estimated by pseudo maximum likelihood

Author

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  • Nick Green

    (University of Surrey)

  • J. M. C. Santos Silva

    (University of Surrey)

Abstract

We argue that measures of goodness of fit based on the value of the likelihood function should not be used when models are estimated by pseudo maximum likelihood. We illustrate this point by showing that when the dependent variable is not a count, some measures of goodness of fit for Poisson regression routinely reported by Stata commands depend on the scale of the data and are therefore uninformative.

Suggested Citation

  • Nick Green & J. M. C. Santos Silva, 2025. "A cautionary note on goodness-of-fit statistics for models estimated by pseudo maximum likelihood," Stata Journal, StataCorp LLC, vol. 25(2), pages 458-465, June.
    • Handle: RePEc:tsj:stataj:v:25:y:2025:i:2:p:458-465
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    Keywords

    glm; poisson; ppml; ppmlhdfe; AIC; BIC; R-squared;
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