BIC: Stata module to evaluate the statistical significance of variables in a model

Paul Millar ()

Statistical Software Components from Boston College Department of Economics

Abstract: bic is a post-estimation command that uses the Bayesian Information Criterion (BIC) for estimating the probability that a variable is part of a model, the equivalent of the statistical significance of a variable's effect. bic estimates models based on all possible combinations of the independent variables - it is computationally intensive. For each of these models it calculates the BIC statistic. It then calculates the probability of each of these models, based on Bayesian principles as first proposed by Schwarz (1978) and further developed by Raftery (1995).

Language: Stata
Requires: Stata version 8
Keywords: Bayesian information criterion; Schwarz; BIC (search for similar items in EconPapers)
Date: 2005-06-19, Revised 2008-03-30
Note: This module may be installed from within Stata by typing "ssc install bic". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/b/bic.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/b/bic.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s449507

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