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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   Tue, 17 Sep 2002 12:52:18 +0000

Joseph Coveney <jcoveney@bigplanet.com> wrote:
Wiji Arulampalam wrote that he was having difficulty getting results from -xtprobit-
to agree with those produced by Limdep. Weihua Guan identified the problem as
having to do with the inability of Hermite quadrature to give trustworthy estimates of
the integral, and this would apply to the results of both -xtprobit- and those of
Limdep, since they both use similar algorithms.
Wait, that's not exactly right. The results from Limdep are very stable. If you look at the coefficient estimates they vary by very little accross 12 and 20 quad points and in both cases Limdep reports standard errors. As pointed out to me in a private email by Stephen Jenkins, Limdep and Stata do not use the same algorithm for the optimization. The advantage of the one used by Limdep is that you are always garanteed a pos. semi-def. estimate of the Hessian, which I believe is not true of the method used by Stata. I believe this explains the missing std. errors (I wish somebody at Stata would check if that is the case or if I am wrong). This being said, I am sure there are advantages to the approach used by Stata, but it is my experience that these problems are relatively frequent. Maybe Stata should consider adding a DFP or BHHH option to their xtprobit and xtlogit commands.

g

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