Steve, thanks a lot.I got probit2.ado in the website you posted.
However, I had two doubts.
Firstly, My sample is pooled cross-section data.
I estimate standard error clustered by company and year. Should I
still take year dummies varialbes as independent variables? In fact,
when I include year dummies as independent variables, the standard error
for them are missing. why?
Probit with 2D clustered SEs Number of obs = 4396
F( 9, .) = .
Prob > F = .
Number of clusters (code) = 1285 R-squared = .
Number of clusters (year) = 5 Root MSE = .
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x1 | .1120743 .024432 4.59 0.000 .0641884 .1599602
x2 | -.4514519 .2984397 -1.51 0.130 -1.036383 .1334791
x3 | -.8063046 .2314595 -3.48 0.000 -1.259957 -.3526524
x4 | -.3627517 .1717722 -2.11 0.035 -.699419 -.0260843
x5 | -.7701916 .2277355 -3.38 0.001 -1.216545 -.3238382
year1 | -.0380545 . . . . .
year2 | -.0613474 . . . . .
year3 | -.1183585 . . . . .
year4 | -.1321975 . . . . .
_cons | -1.997594 .2141259 -9.33 0.000 -2.417273 -1.577915
------------------------------------------------------------------------------
SE clustered by code and year
Secondly, why the equation statistics is F, not chi2? why is missing?
Thank you for any help!
Sincerely,
