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Re: st: Random effects probit


From   "Wiji Arulampalam" <Wiji.Arulampalam@warwick.ac.uk>
To   <stephenj@essex.ac.uk>, <statalist@hsphsun2.harvard.edu>, <Wiji.Arulampalam@warwick.ac.uk>
Subject   Re: st: Random effects probit
Date   Mon, 16 Sep 2002 13:56:28 +0100

Dear Stephen,
In most of the runs I get the result that there is no unobserved heterogeneity as the coefficient estimates are identical to ordinary probit when I use xtprobit. xtprobit also does not give me a std error for the rho. But I have a mle for RE probit in stata and I have just run that and find that my results are exactly the same as Limdep's.
I wonder what is happening?
many thanks
best
wiji



=================================
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/

>>> Wiji.Arulampalam@warwick.ac.uk 09/16/02 01:45PM >>>
Dear Stephen,
Thanks very much for your suggestion. I don't think that the problem is to do with the number of quadrature points.
The coefficients being different by a very small number does not matter. But the problem I have with Stata xtprobit is that it gives me a zero 'rho' with no std error. Limdep always gives me an estimate of 'rho' with a well defined std error. I have a general program which I am going to change now and check the results against stata's results. I will let you know the outcome. 
best
wiji



=================================
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/ 

>>> stephenj@essex.ac.uk 09/16/02 11:13AM >>>
On Mon, 16 Sep 2002 10:55:34 +0100 Wiji Arulampalam 
<Wiji.Arulampalam@warwick.ac.uk> wrote:

> 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!

<snip>

I suggest that Wiji check whether Limdep and Stata are using the same 
number of quadrature points. The default in Stata is 12 (see Ref Man 
Su-Z entry on -xtprobit- Methods and Formulae), but this can be 
varied using the quad option to -xtprobit-.  See also -quadchk-.  I 
have an idea that Limdep has a different default number of quadrature 
points from Stata (I don't know whether one can change that number or 
not). For some data configurations, the # of points really makes a 
difference.

Stephen
----------------------
Professor Stephen P. Jenkins <stephenj@essex.ac.uk>
Institute for Social and Economic Research (ISER)
University of Essex, Colchester, CO4 3SQ, UK
Tel: +44 (0)1206 873374. Fax: +44 (0)1206 873151.
http://www.iser.essex.ac.uk 

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