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st: xtprobit and xttobit missing s.errors


From   feldman@primal.ucdavis.edu
To   statalist@hsphsun2.harvard.edu
Subject   st: xtprobit and xttobit missing s.errors
Date   Wed, 17 Nov 2004 16:47:14 -0800

Hi Stata users,

I am using xtprobit and xttobit to estimate a couple of
models with random effects but there seems to be a problem
with my results.  When I run the xtprobit command everything
seems to be fine (no warning messages, convergence achieved
after 5 iterations and many significant coefficients) but no
standard errors are estimated for lnsig2u and therefore none
s.e. for sigma and rho, although the likelihood ratio test
for rho= appears (Prob >= chibar2 = 0.029) . I have a
similar problem when I run xttobit, I get s.e for sigma_e
but not for sigma_u and therefore none for rho. 

It seems to me that stata is trying to tell me that there is
something wrong with my results but I don't know how bad the
problem is. Are my estimates valid at all? Are the s.e for
the coefficients meaningful? Is there a way to get around
this problem? I am interested in getting s.e for rho in both
cases because in both cases I want to test the hypothesis
that the panel estimator isn't different from the pooled
estimator.  

Thanks, 
Alejandro


Alejandro Lopez-Feldman
Ph.D. Candidate
UC DAVIS
Agricultural and Resource Economics
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