> I am using xtprobit and xttobit to estimate a couple of models with random
> effects but there seems to be a problem with my results. When I run the
> xtprobit command everything seems to be fine (no warning messages,
> convergence achieved after 5 iterations and many significant coefficients)
> but no standard errors are estimated for lnsig2u and therefore none s.e.
> for sigma and rho, although the likelihood ratio test for rho= appears
> (Prob >= chibar2 = 0.029) . I have a similar problem when I run xttobit, I
> get s.e for sigma_e but not for sigma_u and therefore none for rho.
So are those s.e.s not estimated, estimated at missing values, or not
reported? Type -vce- following your estimation to see the full
covariance matrix of the coefficients. If there are indeed weird
values of the variances/covariances, then you might be in trouble. If
not, it just means that log(sigma) is not a very sensible thing to
look at, and Stata did not care to report the standard error for it.
--
Stas Kolenikov
http://stas.kolenikov.name
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