Re: st: Random effects probit

["Guillaume Frechette" <gurst1@hotmail.com>]

"Wiji Arulampalam" <Wiji.Arulampalam@warwick.ac.uk> wrote:
> Dear Stephen,
> In most of the runs I get the result that there is no unobserved 
> heterogeneity as the coefficient estimates are identical to ordinary probit 
> when I use xtprobit. xtprobit also does not give me a std error for the 
> rho. But I have a mle for RE probit in stata and I have just run that and 
> find that my results are exactly the same as Limdep's.
> I wonder what is happening?
I find this very interesting and I hope someone will have something more 
enlightening than me to say about this. I have inquired the list in the past 
about a similar problem but got no answer. However, the difference between 
your results and the one from xtprobit could simply be due to the starting 
value. I also think Stephen's point was a good one, I have sometimes had 
results without std errors but the problem went away once I changed the 
number of quad. points. Bellow you'll find an answer I received from Stata 
to a related but different question (something like "what does it mean when 
Stata gives me missing values for the std. error after estimating a logit 
with the cluster option"). Nonetheles, I would like to know what is the 
source of the problem since Limdep does find a better solution, although the 
log likelihood is not that much different.

g

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