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st: Random effects probit


From   "Wiji Arulampalam" <Wiji.Arulampalam@warwick.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Random effects probit
Date   Mon, 16 Sep 2002 10:55:34 +0100

Dear All,
I have just run a random effects probit using the same data on Limdep
as well as stata7 and get very different results. I should be most
grateful if someone could tell me whether I am doing something wrong
please. Limdep gives a reasonable rho but stata does not!
many thanks
best

Stata output
==========
. xtprobit sue lague if(wave>1), re i(ind1)

Fitting comparison model:

Iteration 0:   log likelihood = -1488.1553
Iteration 1:   log likelihood =  -1104.787
Iteration 2:   log likelihood = -1094.4958
Iteration 3:   log likelihood = -1094.4942

Fitting full model:

rho =  0.0     log likelihood = -1094.4942
rho =  0.1     log likelihood = -1103.1041
Iteration 0:   log likelihood = -1094.4942

Random-effects probit                           Number of obs      =   
 10326
Group variable (i) : ind1                       Number of groups   =   
  2139

Random effects u_i ~ Gaussian                   Obs per group: min =   
     1
                                                               avg =   
   4.8
                                                               max =   
     6

                                                Wald chi2(1)       =   
802.49
Log likelihood  = -1094.4942                    Prob > chi2        =   
0.0000

------------------------------------------------------------------------------
         sue |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
       lague |   2.091586    .073834    28.33   0.000     1.946874   
2.236298
       _cons |  -2.123913   .0308041   -68.95   0.000    -2.184288  
-2.063538
-------------+----------------------------------------------------------------
    /lnsig2u |        -14          .                             .     
     .
-------------+----------------------------------------------------------------
     sigma_u |   .0009119          .                             .     
     .
         rho |   8.32e-07          .                             .     
     .
------------------------------------------------------------------------------
Likelihood ratio test of rho=0: chibar2(01) =     0.00 Prob >= chibar2
= 1.000
==================================================================
Limdep output
============
              | Reestimated RANDOM EFFECTS Probit Model     |
              | Maximum Likelihood Estimates                |
              | Dependent variable                  SUE     |
              | Weighting variable                  ONE     |
              | Number of observations            10326     |
              | Iterations completed                  7     |
              | Log likelihood function       -1094.159     |
              | Restricted log likelihood     -1094.494     |
              | Chi-squared                    .6706471     |
              | Degrees of freedom                    1     |
              | Significance level             .4128261     |
              | Unbalanced panel has    2139 individuals.   |
              +---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
|Variable | Coefficient  | Standard Error |b/St.Er.|P[|Z|>z] | Mean of
X|
+---------+--------------+----------------+--------+---------+----------+
 Constant    -2.166993564   .57806952E-01  -37.487   .0000
 LAGUE        2.042014538   .68420813E-01   29.845   .0000 
.33798179E-01
 Rho       .4450040077E-01  .46307426E-01     .961   .3366
 (Note: E+nn or E-nn means multiply by 10 to + or -nn power.)



=================================
Professor Wiji Arulampalam,
Department of Economics,
University of Warwick,
Coventry,
CV4 7AL,
UK.
Tel: +44 (24) 7652 3471
Sec. Tel: +44 (24) 7652 3202
Fax: +44 (24) 7652 3032
email:  wiji.arulampalam@warwick.ac.uk
http://www.warwick.ac.uk/Economics/arulampalam/
RES2003: http://www.warwick.ac.uk/res2003/
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