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Scott Merryman

----- Original Message -----
From: "Davide Castellani" <dcastell@iol.it>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, July 25, 2002 5:00 AM
Subject: st: xtprobit vs. probit


> 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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