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st: xtprobit vs probit


From   sabc@uevora.pt
To   statalist@hsphsun2.harvard.edu
Subject   st: xtprobit vs probit
Date   Tue, 23 Aug 2005 17:48:34 +0100 (WEST)

Dear statalist users,
I know this is probably a question which would be easily answered if I had
worked with panel data before but, since it is the first time Iím trying
to work with xtprobit, Iím not really sure how to read the following
output (see below). Since the Likelihood-ratio test of rho=0 does not
reject the inexistence of unoberserved individual level heterogeneity,
should I just use probit instead of xtprobit? If not, how to I test for
fixed vs random effects? xtprobit is for random effects only. Should I use
xtlogit, fe and xtlogit, re and then use hausman?

. xtprobit d3 vargap divida varg_primaria, re nolog

Random-effects probit regression                Number of obs      =      
376
Group variable (i): id                          Number of groups   =      
 14

Random effects u_i ~ Gaussian                   Obs per group: min =      
 15
                                                               avg =     
26.9
                                                               max =      
 34

                                                Wald chi2(3)       =    
43.77
Log likelihood  = -82.971132                    Prob > chi2        =   
0.0000

------------------------------------------------------------------------------
          d3 |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
      vargap |  -.1911532   .0424292    -4.51   0.000    -.2743129  
-.1079936
      divida |   .0058737   .0038235     1.54   0.124    -.0016202   
.0133677
varg_prima~a |  -.4549667    .103455    -4.40   0.000    -.6577347  
-.2521986
       _cons |  -2.205895   .3058103    -7.21   0.000    -2.805272  
-1.606518
-------------+----------------------------------------------------------------
    /lnsig2u |        -14   349.3657                     -698.7443   
670.7443
-------------+----------------------------------------------------------------
     sigma_u |   .0009119   .1592902                      1.9e-152   
4.5e+145
         rho |   8.32e-07   .0002905                      3.5e-304        
  1
------------------------------------------------------------------------------
Likelihood-ratio test of rho=0: chibar2(01) =     0.00 Prob >= chibar2 =
1.000


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