It isn't that the estimated model's rho=0, rather, the panel model failed
to converge. As a rule, whenever a standard error is missing, something
is seriously wrong (in my humble opinion, Stata should flag the problem
more prominently than that implied by failing to report standard errors,
like "WARNING: Hessian is singular. Results are meaningless.").
Why the model didn't converge is another question. I'd hazard a guess that
if you have too many units which are all 0 or all 1 the panel probit model
will have difficulties.
Cheers,
Chris Auld
Department of Economics
University of Calgary
[email protected]
On Thu, 25 Jul 2002, Davide Castellani wrote:
>
> Dear statalisters,
> I am trying to run a random effect probit using -xtprobit, re-, but it
> yields the same results as the standard -probit- command. Furthermore, the
> xtprobit yields strange
> output for lnsig2u, sigma_u and rho. The same does not happen if I use
> xtlogit. Below i report output for the xtprobit, probit, logit and xtlogit.
> Do you have any idea of what could be going on?
>
> Davide
>
>
> . xtprobit dep x1 x2 if time<1998, re i(id)
>
> Fitting comparison model:
>
> Iteration 0: log likelihood = -1611.7984
> Iteration 1: log likelihood = -1371.4379
> Iteration 2: log likelihood = -1361.8071
> Iteration 3: log likelihood = -1361.7691
>
> Fitting full model:
>
> rho = 0.0 log likelihood = -1361.7691
> rho = 0.1 log likelihood = -1362.7407
> Iteration 0: log likelihood = -1361.7691
>
> Random-effects probit Number of obs = 9001
> Group variable (i) : id Number of groups = 2602
>
> Random effects u_i ~ Gaussian Obs per group: min = 1
> avg = 3.5
> max = 6
>
> Wald chi2(2) = 467.84
> Log likelihood = -1361.7691 Prob > chi2 = 0.0000
>
> ------------------------------------------------------------------------------
> dep | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> x1 | .5067719 .0560958 9.03 0.000 .3968261 .6167178
> x2 | .327031 .0186308 17.55 0.000 .2905153 .3635466
> _cons | -3.31608 .0953378 -34.78 0.000 -3.502938 -3.129221
> -------------+----------------------------------------------------------------
> /lnsig2u | -14 . . .
> -------------+----------------------------------------------------------------
> sigma_u | .0009119 . . .
> rho | 8.32e-07 . . .
> ------------------------------------------------------------------------------
> Likelihood ratio test of rho=0: chibar2(01) = 0.00 Prob >= chibar2 = 1.000
>
> . probit dep x1 x2 if time<1998
>
> Iteration 0: log likelihood = -1611.7984
> Iteration 1: log likelihood = -1371.4379
> Iteration 2: log likelihood = -1361.8071
> Iteration 3: log likelihood = -1361.7691
>
> Probit estimates Number of obs = 9001
> LR chi2(2) = 500.06
> Prob > chi2 = 0.0000
> Log likelihood = -1361.7691 Pseudo R2 = 0.1551
>
> ------------------------------------------------------------------------------
> dep | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> x1 | .5067717 .0560951 9.03 0.000 .3968274 .616716
> x2 | .3270309 .0186305 17.55 0.000 .2905158 .3635459
> _cons | -3.316078 .0953354 -34.78 0.000 -3.502932 -3.129224
> ------------------------------------------------------------------------------
>
>
>
> . logit dep x1 x2 if time<1998
>
> Iteration 0: log likelihood = -1611.7984
> Iteration 1: log likelihood = -1587.3111
> Iteration 2: log likelihood = -1373.1369
> Iteration 3: log likelihood = -1369.2397
> Iteration 4: log likelihood = -1369.2142
>
> Logit estimates Number of obs = 9001
> LR chi2(2) = 485.17
> Prob > chi2 = 0.0000
> Log likelihood = -1369.2142 Pseudo R2 = 0.1505
>
> ------------------------------------------------------------------------------
> dep | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> x1 | .9555873 .1115672 8.57 0.000 .7369195 1.174255
> x2 | .6487152 .0359413 18.05 0.000 .5782716 .7191588
> _cons | -6.320212 .1958625 -32.27 0.000 -6.704095 -5.936329
> ------------------------------------------------------------------------------
>
> . xtlogit dep x1 x2 if time<1998, re i(id)
>
> Fitting comparison model:
>
> Iteration 0: log likelihood = -1611.7984
> Iteration 1: log likelihood = -1587.3111
> Iteration 2: log likelihood = -1373.1369
> Iteration 3: log likelihood = -1369.2397
> Iteration 4: log likelihood = -1369.2142
>
> Fitting full model:
>
> rho = 0.0 log likelihood = -1369.2142
> rho = 0.1 log likelihood = -1367.2316
> rho = 0.2 log likelihood = -1366.5762
> rho = 0.3 log likelihood = -1368.2915
> Iteration 0: log likelihood = -1366.5762
> Iteration 1: log likelihood = -1363.6172
> Iteration 2: log likelihood = -1362.5641
> Iteration 3: log likelihood = -1362.5623
> Iteration 4: log likelihood = -1362.5623
>
> Random-effects logit Number of obs = 9001
> Group variable (i) : id Number of groups = 2602
>
> Random effects u_i ~ Gaussian Obs per group: min = 1
> avg = 3.5
> max = 6
>
> Wald chi2(2) = 341.10
> Log likelihood = -1362.5623 Prob > chi2 = 0.0000
>
> ------------------------------------------------------------------------------
> dep | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> x1 | 1.040364 .1279023 8.13 0.000 .7896805 1.291048
> x2 | .6961738 .0447027 15.57 0.000 .6085581 .7837896
> _cons | -6.843286 .2759503 -24.80 0.000 -7.384139 -6.302434
> -------------+----------------------------------------------------------------
> /lnsig2u | -.4303919 .3243294 -1.066066 .2052821
> -------------+----------------------------------------------------------------
> sigma_u | .8063834 .1307669 .5868225 1.108094
> rho | .165034 .0135847 .0947548 .2717889
> ------------------------------------------------------------------------------
> Likelihood ratio test of rho=0: chibar2(01) = 13.30 Prob >= chibar2 = 0.000
>
> .
> end of do-file
>
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