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st: vce(robust) with xtprobit


From   "Panos Sousounis" <p.sousounis@econ.keele.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: vce(robust) with xtprobit
Date   Fri, 17 Nov 2006 16:52:32 -0000

Hi all,
I've been trying to carry out a 2-stage procedure for testing for state
dependence. When I try to carry out the 2nd -stage xtprobit estimation with
the vce(robust) option, stata returns the following error message: 

xtprobit_d2 failed to compute scores required by the robust option

Does anyone know why that is the case? Is this not the correct way of
obtaining robust se after xtprobit? Could it be because I include a
generalised residual term from stage 1 probit, which has generated a lot of
missing values (and any idea why it does that)?

I would greatly appreciate if anyone could suggest any solution or point out
a source for reading more on these. Apologies for the multiple questions.

Panos

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