Dear All,
I have just run a random effects probit using the same data on Limdep
as well as stata7 and get very different results. I should be most
grateful if someone could tell me whether I am doing something wrong
please. Limdep gives a reasonable rho but stata does not!
many thanks
best
Stata output
==========
. xtprobit sue lague if(wave>1), re i(ind1)
Fitting comparison model:
Iteration 0: log likelihood = -1488.1553
Iteration 1: log likelihood = -1104.787
Iteration 2: log likelihood = -1094.4958
Iteration 3: log likelihood = -1094.4942
Fitting full model:
rho = 0.0 log likelihood = -1094.4942
rho = 0.1 log likelihood = -1103.1041
Iteration 0: log likelihood = -1094.4942
Random-effects probit Number of obs =
10326
Group variable (i) : ind1 Number of groups =
2139
Random effects u_i ~ Gaussian Obs per group: min =
1
avg =
4.8
max =
6
Wald chi2(1) =
802.49
Log likelihood = -1094.4942 Prob > chi2 =
0.0000
------------------------------------------------------------------------------
sue | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
lague | 2.091586 .073834 28.33 0.000 1.946874
2.236298
_cons | -2.123913 .0308041 -68.95 0.000 -2.184288
-2.063538
-------------+----------------------------------------------------------------
/lnsig2u | -14 . .
.
-------------+----------------------------------------------------------------
sigma_u | .0009119 . .
.
rho | 8.32e-07 . .
.
------------------------------------------------------------------------------
Likelihood ratio test of rho=0: chibar2(01) = 0.00 Prob >= chibar2
= 1.000
==================================================================
Limdep output
============
| Reestimated RANDOM EFFECTS Probit Model |
| Maximum Likelihood Estimates |
| Dependent variable SUE |
| Weighting variable ONE |
| Number of observations 10326 |
| Iterations completed 7 |
| Log likelihood function -1094.159 |
| Restricted log likelihood -1094.494 |
| Chi-squared .6706471 |
| Degrees of freedom 1 |
| Significance level .4128261 |
| Unbalanced panel has 2139 individuals. |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
|Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|>z] | Mean of
X|
+---------+--------------+----------------+--------+---------+----------+
Constant -2.166993564 .57806952E-01 -37.487 .0000
LAGUE 2.042014538 .68420813E-01 29.845 .0000
.33798179E-01
Rho .4450040077E-01 .46307426E-01 .961 .3366
(Note: E+nn or E-nn means multiply by 10 to + or -nn power.)
=================================
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: [email protected]
http://www.warwick.ac.uk/Economics/arulampalam/
RES2003: http://www.warwick.ac.uk/res2003/
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