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st: xttobit and xtprobit missing standard errors


From   "Alejandro Lopez-Feldman" <alopezfeldman@ucdavis.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: xttobit and xtprobit missing standard errors
Date   Wed, 17 Nov 2004 16:33:58 -0800 (PST)

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 meaningfull? 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
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