st: xtprobit vs. probit

[Davide Castellani <dcastell@iol.it>]

Dear statalisters,
I am trying to run a random effect probit using -xtprobit, re-, but it 
yields the same results as the standard -probit- command. Furthermore, the 
xtprobit yields strange
output for lnsig2u, sigma_u and rho.  The same does not happen if I use 
xtlogit. Below i report output for the xtprobit, probit, logit and xtlogit.
Do you have any idea of what could be going on?

Davide


. xtprobit dep x1 x2 if time<1998, re i(id)

Fitting comparison model:

Iteration 0:   log likelihood = -1611.7984
Iteration 1:   log likelihood = -1371.4379
Iteration 2:   log likelihood = -1361.8071
Iteration 3:   log likelihood = -1361.7691

Fitting full model:

rho =  0.0     log likelihood = -1361.7691
rho =  0.1     log likelihood = -1362.7407
Iteration 0:   log likelihood = -1361.7691

Random-effects probit                           Number of obs      =      9001
Group variable (i) : id                         Number of groups   =      2602

Random effects u_i ~ Gaussian                   Obs per group: min =         1
                                                               avg =       3.5
                                                               max =         6

                                                Wald chi2(2)       =    467.84
Log likelihood  = -1361.7691                    Prob > chi2        =    0.0000

------------------------------------------------------------------------------
         dep |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          x1 |   .5067719   .0560958     9.03   0.000     .3968261    .6167178
          x2 |    .327031   .0186308    17.55   0.000     .2905153    .3635466
       _cons |   -3.31608   .0953378   -34.78   0.000    -3.502938   -3.129221
-------------+----------------------------------------------------------------
    /lnsig2u |        -14          .                             .           .
-------------+----------------------------------------------------------------
     sigma_u |   .0009119          .                             .           .
         rho |   8.32e-07          .                             .           .
------------------------------------------------------------------------------
Likelihood ratio test of rho=0: chibar2(01) =     0.00 Prob >= chibar2 = 1.000

. probit dep x1 x2 if time<1998

Iteration 0:   log likelihood = -1611.7984
Iteration 1:   log likelihood = -1371.4379
Iteration 2:   log likelihood = -1361.8071
Iteration 3:   log likelihood = -1361.7691

Probit estimates                                  Number of obs   =       9001
                                                  LR chi2(2)      =     500.06
                                                  Prob > chi2     =     0.0000
Log likelihood = -1361.7691                       Pseudo R2       =     0.1551

------------------------------------------------------------------------------
         dep |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          x1 |   .5067717   .0560951     9.03   0.000     .3968274     .616716
          x2 |   .3270309   .0186305    17.55   0.000     .2905158    .3635459
       _cons |  -3.316078   .0953354   -34.78   0.000    -3.502932   -3.129224
------------------------------------------------------------------------------



. logit dep x1 x2 if time<1998

Iteration 0:   log likelihood = -1611.7984
Iteration 1:   log likelihood = -1587.3111
Iteration 2:   log likelihood = -1373.1369
Iteration 3:   log likelihood = -1369.2397
Iteration 4:   log likelihood = -1369.2142

Logit estimates                                   Number of obs   =       9001
                                                  LR chi2(2)      =     485.17
                                                  Prob > chi2     =     0.0000
Log likelihood = -1369.2142                       Pseudo R2       =     0.1505

------------------------------------------------------------------------------
         dep |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          x1 |   .9555873   .1115672     8.57   0.000     .7369195    1.174255
          x2 |   .6487152   .0359413    18.05   0.000     .5782716    .7191588
       _cons |  -6.320212   .1958625   -32.27   0.000    -6.704095   -5.936329
------------------------------------------------------------------------------

. xtlogit dep x1 x2 if time<1998, re i(id)

Fitting comparison model:

Iteration 0:   log likelihood = -1611.7984
Iteration 1:   log likelihood = -1587.3111
Iteration 2:   log likelihood = -1373.1369
Iteration 3:   log likelihood = -1369.2397
Iteration 4:   log likelihood = -1369.2142

Fitting full model:

rho =  0.0     log likelihood = -1369.2142
rho =  0.1     log likelihood = -1367.2316
rho =  0.2     log likelihood = -1366.5762
rho =  0.3     log likelihood = -1368.2915
Iteration 0:   log likelihood = -1366.5762
Iteration 1:   log likelihood = -1363.6172
Iteration 2:   log likelihood = -1362.5641
Iteration 3:   log likelihood = -1362.5623
Iteration 4:   log likelihood = -1362.5623

Random-effects logit                            Number of obs      =      9001
Group variable (i) : id                         Number of groups   =      2602

Random effects u_i ~ Gaussian                   Obs per group: min =         1
                                                               avg =       3.5
                                                               max =         6

                                                Wald chi2(2)       =    341.10
Log likelihood  = -1362.5623                    Prob > chi2        =    0.0000

------------------------------------------------------------------------------
         dep |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          x1 |   1.040364   .1279023     8.13   0.000     .7896805    1.291048
          x2 |   .6961738   .0447027    15.57   0.000     .6085581    .7837896
       _cons |  -6.843286   .2759503   -24.80   0.000    -7.384139   -6.302434
-------------+----------------------------------------------------------------
    /lnsig2u |  -.4303919   .3243294                     -1.066066    .2052821
-------------+----------------------------------------------------------------
     sigma_u |   .8063834   .1307669                      .5868225    1.108094
         rho |    .165034   .0135847                      .0947548    .2717889
------------------------------------------------------------------------------
Likelihood ratio test of rho=0: chibar2(01) =    13.30 Prob >= chibar2 = 0.000

.
end of do-file

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