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RE: st: Stata RE Probit (about quadrature)


From   "Guillaume Frechette" <gurst1@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: Stata RE Probit (about quadrature)
Date   Tue, 01 Jun 2004 12:36:02 +0000

Glad I could help. To understand a bit more about quadrature points you would need to read on numerical integration. The book I have learned with is "An Introduction to Numerical Analysis" by Atkinson. Although I don't think it covers Guauss-Hermit (which is what is used by RE probit) it will explain the basic idea of numerical integration.

Best,

g


From: "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
Reply-To: statalist@hsphsun2.harvard.edu
To: statalist@hsphsun2.harvard.edu
Subject: RE: st: Stata RE Probit
Date: Sat, 29 May 2004 00:50:48 +0100 (BST)

Guillaume Frechette replied to Aparna Mathur:

> This is usually a convergence problem. You can try changing the number of
> quadrature points or install superxt
> (http://www.people.hbs.edu/gfrechette/html/sg158.htm) which does that
> automatically as well as trying different starting values for rho.

Thanks for this. I'd had problems myself when fitting -xtprobit- models a
few months ago and wasn't aware of a solution. Perhaps now I can start to
understand at a practical level what quadrature points are!

CLIVE NICHOLAS |t: 0(044)191 222 5969
Politics |e: clive.nicholas@ncl.ac.uk
Newcastle University |http://www.ncl.ac.uk/geps
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