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Re: st: Random effects probit


From   "Guillaume Frechette" <gurst1@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Random effects probit
Date   Mon, 16 Sep 2002 13:35:44 +0000

"Wiji Arulampalam" <Wiji.Arulampalam@warwick.ac.uk> wrote:

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?
I find this very interesting and I hope someone will have something more enlightening than me to say about this. I have inquired the list in the past about a similar problem but got no answer. However, the difference between your results and the one from xtprobit could simply be due to the starting value. I also think Stephen's point was a good one, I have sometimes had results without std errors but the problem went away once I changed the number of quad. points. Bellow you'll find an answer I received from Stata to a related but different question (something like "what does it mean when Stata gives me missing values for the std. error after estimating a logit with the cluster option"). Nonetheles, I would like to know what is the source of the problem since Limdep does find a better solution, although the log likelihood is not that much different.

g

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