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From |
"Wiji Arulampalam" <Wiji.Arulampalam@warwick.ac.uk> |

To |
<stephenj@essex.ac.uk>, <statalist@hsphsun2.harvard.edu> |

Subject |
st: Re: Random effects probit |

Date |
Mon, 16 Sep 2002 14:51:13 +0100 |

Hi Stephen, I have run the model using three different programs. (i) xtprobit; (ii) limdep; (iii) an ado file I wrote for xtprobit. The problem seems to be happening whenever I have a lagged dep variable. xtprobit is not moving from the initial ordinary probit starting values, whereas programs (ii) and (iii) are doing so. I have also changed the no of quad points in xtprobit but it still wont move. I will play around with the other things as you suggested. Thanks very much. 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/ >>> "Stephen P. Jenkins" <stephenj@essex.ac.uk> 09/16/02 02:47PM >>> Wiji, > Thanks very much for your suggestion. I don't think that the problem > is to do with the number of quadrature points. ... but I still think worth checking this one out -- to eliminate all possible sources of difference. I looked at Limdep 7.0 manual, pp. 426-31. It says it used DFP algorithm and BHHH for asym cov matrix, and 8 point quadrature. Stata uses 12 points by default (and uses a different, modified Newton, maximiser -- though I suspect that not the issue). Try the commands: xtprobit sue lague if wave>1, i(ind1) /* NB "re" is default */ quadchk /* checks out sensitivity to using 8 or 16 point instead */ > 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. Another thing that could be going on is different convergence criteria. Have a look at -maximize-. That tells you of a number of generic options that you could add to the -xtprobit- command to do things like get a more detailed trace of what happens at each step, and to change default tolerances for convergence, etc. NB 'difficult' option too. When no std error is reported by a Stata program, it usually means that it couldn't invert the Hessian -- singular (as far as numerically relevant) . It seems that in cases where your rho is very close to zero, the 2 programs are taking different courses of action. > 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. Sorry, I don't understand your last sentence. Are you saying that you have some results from Stata that are now the same as Limdep's, whereas they differed before? best wishes 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 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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