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st: xtlogit vs limdep


From   "Alfonso Miranda Caso Luengo" <Alfonso.Miranda-Caso-Luengo@warwick.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: xtlogit vs limdep
Date   Tue, 21 Sep 2004 14:12:54 +0100

Dear All,

Wiji has asked me to post the following message on her behalf (she's having some problems posting to statalist).

Best wishes,

Alfonso.

------------------------------------------------------
Dear All,
I hope someone can help me with this.
I have tried running a simple random effects logit in stata, gllamm and limdep and I get different results from the first two compared to limdep.  The maximised log like value is different and also the coefficients are different. Here is a summary:
 
                                         
             Nlogit       Stata         gllamm
log L     -23392.59   -23785.15       -23788.25

intercept   -0.9202     -1.2643        -1.25434
(Std Error) (0.0203)   (0.0285)       (0.02812)
 
beta 1     -0.35761    -0.52618        -0.5310
          (0.02872)    (0.0402)       (0.0403)
 
rho        0.38615     0.38699
          (0.00503)   (0.00844)
 
This is a simple model with just one dummy variable with a coefficient beta 1. 
 
THE DIFFERENCE IN THE MAX LOG LIK

I have been discussing this issue with Bill Greene and he has checked his programme and he thinks that one possibility for the difference in the log likelihood could be that  stata is omitting a scaling factor . The difference in the log like between this model and another model with an extra variable is the same in both nlogit and stata.  That is, the difference between nlogit and stata is a fixed factor.   This factor could be the sqr(pi).
 
the difference in the coeff
Note, the estimated rho is very nearly the same. The coefficients and std errors are different.
 
The command I use is
 
xtlogit unidec male, i(anonsn) quad(16).
 
The sample used is exactly the same and changing the number of quadrature points does not change the results significantly.
 
Importantly, xtprobit results are consistent across the programmes.  the problem is with the RE logit.
 
Someone please help me. I have spent at least 5 days on this........ What is being reported in xtlogit?
 
Many thanks
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/go/arulampalam/

------------------------------------------------------

=====================================
Alfonso Miranda
PhD Student

Economics Department
University of Warwick
Coventry CV4 7AL
E-mail:ecrgw@warwick.ac.uk
WebPage: http://www.warwick.ac.uk/go/amiranda
=====================================

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