# st: Random effects probit

 From "Wiji Arulampalam" To 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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```