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st: estimating a probit model on panel data with gllamm

From   <[email protected]>
To   <[email protected]>
Subject   st: estimating a probit model on panel data with gllamm
Date   Mon, 13 Jun 2005 13:21:15 +0200


I have panel data and have estimated the following model with gllamm:

gllamm y x1 x2, i(persid) family(binom) link(probit) adapt trace

The level one units are measurement occasions and the level two units
are persons, indicated by the variable persid. I have two questions
concerning this model:

1. Why don't I get identical results when I estimated the same model
with xtprobit using
xtprobit y x1 x2, i(persid)

Using the example of the logit, the Gllamm manual (page 34) implies that
these commands are identical. I was able to confirm this with the logit,
but it doesn't seem to work with the probit.

2. The condition number generated by the gllamm model goes through the
roof when additional explanatory variables are added. The number is
about 30 with 2 explanatory variables and about 22000 with five, one of
which is a squared term. Is this a cause for concern?

Any insights would be greatly appreciated.

Many thanks,

Colin Vance, Ph.D.
German Aerospace Center
Institute of Transport Research
Rutherfordstrasse 2
12489 Berlin

tel: +49 30 67055147
fax: +49 30 67055202
email: [email protected]

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