Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Re: Random effects probit


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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index