[Limdep Nlogit List] (no subject)

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

Hi bill, thanks for the feedback.  I'm still a little confused.
 
So how does one statistically support using a random effects model over a basic model in what they believe is a panel data set (but don't know if there is a panel data issue)?
Best Regards,

Darren Lee (Room 328)
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

________________________________

From: limdep-bounces at limdep.itls.usyd.edu.au on behalf of William Greene
Sent: Thu 14/12/2006 9:49 PM
To: Limdep and Nlogit Mailing List
Subject: Re: [Limdep Nlogit List] (no subject)



Darren: 
(1) RHO is  not "calculated."  It is one of the parameters that is estimated by the ML procedure.
The theory is that it equals Var[u]/{1 + Var[u]} where u is the random effect.
(2) No, it is not equal to, or related to, the B&P LM test for random effects.
(3) A Wald (t) test for RHO=0 is a test for the presence of random effects.  This (and any other
test) is better than fitting the pooled model by OLS, which I would not recommend under any
circumstances.
Regards,
/Bill Greene


************************************************
Professor William Greene
Department of Economics
Stern School of Business
New York University
44 West 4th St., Rm. 7-78
New York, NY   10012
Ph. 212.998.0876
Fax. 212.995.4218
URL. http://www.stern.nyu.edu/~wgreene
Email. wgreene at stern.nyu.edu
************************************************

----- Original Message -----
From: D.Lee2 at business.uq.edu.au
Date: Thursday, December 14, 2006 4:32 am
Subject: [Limdep Nlogit List] (no subject)

> Hi Guys,
>
>
>
> I am trying to ascertain what Rho means in the output of a probit
> paneldata 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
>
>
>
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> Limdep site list
> Limdep at limdep.itls.usyd.edu.au
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>

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