[Limdep Nlogit List] (no subject)

[D.Lee2 at business.uq.edu.au]

Hi Guys,

 

I am trying to ascertain what Rho means in the output of a probit panel
data model.  

 

1) How is it calculated (i.e. is there anything in the manual)?

 

2) Is it like the Breusch and Pagan (1890) LM test for the random
effects model (see page 298, Greene 2003, Econometric Analysis)?  

 

3) Does it provide a test that the random effects model is better than
the base OLS pooled regression (if not what does in LimDep)?

 

 (Rho is highlighted in the output below)

 

+---------------------------------------------+

| Random Effects Binary Probit Model          |

| Maximum Likelihood Estimates                |

| Model estimated: Dec 14, 2006 at 06:57:16PM.|

| Dependent variable                  BIN     |

| Weighting variable                 None     |

| Number of observations              678     |

| Iterations completed                  1     |

| LM Stat. at start values       80.47393     |

| LM statistic kept as scalar    LMSTAT       |

| Log likelihood function       -439.3980     |

| Number of parameters                 10     |

| Info. Criterion: AIC =          1.32566     |

|   Finite Sample: AIC =          1.32614     |

| Info. Criterion: BIC =          1.39231     |

| Info. Criterion:HQIC =          1.35146     |

| Restricted log likelihood     -447.8178     |

| Chi squared                    16.83944     |

| Degrees of freedom                    1     |

| Prob[ChiSqd > value] =         .4067828E-04 |

| Unbalanced panel has     504 individuals.   |

| Missing data: Skipped      137 individuals. |

+---------------------------------------------+

+---------+--------------+----------------+--------+---------+----------
+

|Variable | Coefficient  | Standard Error |b/St.Er.|P[|Z|>z] | Mean of
X|

+---------+--------------+----------------+--------+---------+----------
+

 Constant     -1.86672694      .27865089    -6.699   .0000

 Z_SCORE       -.00777047      .00980270     -.793   .4280    4.23746475

 TTL_ASSE       .50815559      .07045905     7.212   .0000    3.62885073

 PE_RATIO       .00039061      .00031415     1.243   .2137    25.1300835

 MB_RATIO       .00200406      .00679547      .295   .7681    4.32215507

 TA_COM_E      -.00430420      .01020701     -.422   .6733    3.15135305

 CURRENT_       .02051882      .01975231     1.039   .2989    2.09311815

 FCF_TA        -.33304236      .29198730    -1.141   .2540    -.00747627

 MARKBLE1       .69932994      .82496361      .848   .3966     .00386895

 Rho            .04306220      .04783482      .900   .3680

 

Thanks for any help in advance.

 
Darren 
 
UQ Business School
Colin Clark Blg
Blair Drive
St Lucia
QLD, 4072
PH: 07 33656743
Fax: 07 33656988

Email: darren.lee at business.uq.edu.au