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st: Re: Random effects probit

From   "Wiji Arulampalam" <>
To   <>, <>
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.

Professor Wiji Arulampalam,
Department of Economics,
University of Warwick,
CV4 7AL,
Tel: +44 (24) 7652 3471
Sec. Tel: +44 (24) 7652 3202
Fax: +44 (24) 7652 3032

>>> "Stephen P. Jenkins" <> 09/16/02 02:47PM >>>
> 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
Professor Stephen P. Jenkins <>
Institute for Social and Economic Research (ISER)
University of Essex, Colchester, CO4 3SQ, UK
Tel: +44 (0)1206 873374. Fax: +44 (0)1206 873151. 

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