xtprobit.hlp

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{smcl}
{* *! version 1.0.0  24jun2005}{...}
{cmd:help xtprobit}{right:dialog:  {bf:{dialog xtprobit}}{space 15}}
{right:also see:  {help xtprobit postestimation}}
{hline}

{title:Title}

{p2colset 5 22 24 2}{...}
{p2col :{hi:[XT] xtprobit} {hline 2}}Random-effects and population-averaged probit models{p_end}


{title:Syntax}

{phang}
Random-effects (RE) model

{p 8 24 2}
{cmd:xtprobit} {depvar} [{indepvars}] {ifin} {weight} 
[{cmd:, re} {it:{help xtprobit##reoptions:RE_options}}]

{phang}
Population-averaged (PA) model

{p 8 24 2}
{cmd:xtprobit} {depvar} [{indepvars}] {ifin} {weight} 
{cmd:, pa} [{it:{help xtprobit##paoptions:PA_options}}]

{marker reoptions}{...}
{synoptset 27 tabbed}{...}
{synopthdr:RE_options}
{synoptline}
{syntab :Model}
{synopt :{opth "i(varname:varname_i)"}}use {it:varname_i} as the panel ID variable{p_end}
{synopt :{opt nocon:stant}}suppress constant term{p_end}
{synopt :{opt re}}use random-effects estimator; the default{p_end}
{synopt :{opth off:set(varname)}}include {it:varname} in model with coefficient constrained to 1{p_end}
{synopt :{opth const:raints(estimation options##constraints():constraints)}}apply specified linear constraints{p_end}

INCLUDE help intpts1

{syntab :SE}
{synopt :{opth vce(vcetype)}}{it:vcetype} may be {opt boot:strap} or {opt jack:knife}{p_end}

{syntab :Reporting}
{synopt :{opt l:evel(#)}}set confidence level; default is {cmd:level(95)}{p_end}
{synopt :{opt noskip}}perform likelihood-ratio test{p_end}

{syntab :Max options}
{synopt :{it:{help xtprobit##maximize_options:maximize_options}}}control the maximization process; seldom used{p_end}
{synoptline}
{p2colreset}{...}

{marker paoptions}{...}
{synoptset 27 tabbed}{...}
{synopthdr:PA_options}
{synoptline}
{syntab :Model}
{synopt :{opth "i(varname:varname_i)"}}use {it:varname_i} as the panel ID variable{p_end}
{synopt :{opt nocon:stant}}suppress constant term{p_end}
{synopt :{opt pa}}use population-averaged estimator{p_end}
{synopt :{opth off:set(varname)}}include {it:varname} in model with coefficient
constrained to 1{p_end}

{syntab :Correlation}
{synopt :{cmdab:c:orr(}{it:{help xtnbreg##correlation:correlation}}{cmd:)}}within-group correlation structure{p_end}
{synopt :{opt force}}estimate even if observations unequally spaced in time{p_end}

{syntab :SE/Robust}
{synopt :{opth vce(vcetype)}}{it:vcetype} may be {opt r:obust}, {opt boot:strap} or {opt jack:knife}{p_end}
{synopt :{opt r:obust}}synonym for {cmd:vce(robust)}{p_end}
{synopt :{cmdab:s:cale(x2)}}set scale parameter to Pearson chi-squared statistic{p_end}
{synopt :{cmdab:s:cale(dev)}}set scale parameter to deviance divided by degrees of freedom{p_end}
{synopt :{cmdab:s:cale(phi)}}do not rescale the variance{p_end}
{synopt :{opt scale(#)}}set scale parameter to {it:#}{p_end}
{synopt :{opt nmp}}use divisor N-P instead of the default N{p_end}

{syntab :Reporting}
{synopt :{opt l:evel(#)}}set confidence level; default is {cmd:level(95)}{p_end}

{syntab :Opt options}
{synopt :{it:{help xtprobit##optimize_options:optimize_options}}}control the optimization process; seldom used{p_end}
{synoptline}
{p2colreset}{...}

{marker correlation}{...}
{synoptset 23}{...}
{synopthdr :correlation}
{synoptline}
{synopt :{opt exc:hangeable}}exchangeable{p_end}
{synopt :{opt ind:ependent}}exchangeable{p_end}
{synopt :{opt uns:tructured}}unstructured{p_end}
{synopt :{opt fix:ed} {it:matname}}user-specified{p_end}
{synopt :{opt ar} {it:#}}autoregressive of order {it:#}{p_end}
{synopt :{opt sta:tionary} {it:#}}stationary of order {it:#}{p_end}
{synopt :{opt non:stationary} {it:#}}nonstationary of order {it:#}{p_end}
{synoptline}
{p2colreset}{...}

{phang}
{it:depvar} and {it:indepvars} may contain time-series operators; see {help tsvarlist}.{p_end}
{phang}
{opt bootstrap}, {opt by}, {opt jackknife}, {opt statsby}, and {opt xi} may be used with {cmd:xtprobit}; see {help prefix}.{p_end}
{phang}
{opt iweight}s, {opt fweight}s, and {opt pweight}s are allowed for the population-averaged model, and {opt iweight}s are allowed in the random-effects model; see {help weight}.  Weights must be constant within panels.{p_end}
{phang}
See {help xtprobit postestimation} for features available after estimation.{p_end}


{title:Description}

{pstd}
{cmd:xtprobit} fits random-effects and population-averaged
probit models.  There is no command for a conditional fixed-effects model, as
there does not exist a sufficient statistic allowing the fixed effects to be
conditioned out of the likelihood.  Unconditional fixed-effects probit models
may be fitted with {cmd:probit} command with indicator variables for the
panels.  The appropriate indicator variables can be generated using
{cmd:tabulate} or {cmd:xi}.  However, unconditional fixed-effects estimates
are biased.

{pstd}
{cmd:xtprobit, re}, the default, is slow because the likelihood function is
calculated by adaptive Gauss-Hermite quadrature.
INCLUDE help intpts2

{pstd}
By default, the population-averaged model is an equal-correlation model;
{cmd:xtprobit} assumes {cmd:corr(exchangeable)}.  See {helpb xtgee} for
information on how to fit other population-averaged models.

{pstd}
See {help logistic estimation commands} for a list of related estimation 
commands.


{title:Options for RE model}

{dlgtab:Model}

{phang}
{opth "i(varname:varname_i)"}, {opt noconstant}; see
 {help estimation options##i():estimation options}.

{phang}
{opt re} requests the random-effects estimator.  {opt re} is the default if
neither {opt re} not {opt pa} is specified.

{phang}
{opth offset(varname)}, {opt constraints(constraints)}; see 
{help estimation options##offset():estimation options}.

INCLUDE help intpts3

{dlgtab:SE}

{phang}
{opt vce(vcetype)}; see {it:{help vce_option}}.

{dlgtab:Reporting}

{phang}
{opt level(#)}, {opt noskip}; see
 {help estimation options##level():estimation options}. 

{dlgtab:Max options}

{phang}
{marker maximize_options}
{it:maximize_options}: {opt dif:ficult}, {opt tech:nique(algorithm_spec)}, 
{opt iter:ate(#)}, [{opt no:}]{opt lo:g}, {opt tr:ace}, {opt grad:ient}, 
{opt showstep}, {opt hess:ian}, {opt shownr:tolerance}, {opt tol:erance(#)}, 
{opt ltol:erance(#)}, {opt gtol:erance(#)}, {opt nrtol:erance(#)}, 
{opt nonrtol:erance}, {opt from(init_specs)}; see {help maximize}.  Some of 
these options are not available if {cmd:intmethod(ghermite)} is specified.
These options are seldom used.


{title:Options for PA model}

{dlgtab:Model}

{phang}
{opth "i(varname:varname_i)"}, {opt noconstant}; see 
{help estimation options##i():estimation options}.

{phang}
{opt pa} requests the population-averaged estimator.

{phang}
{opth offset(varname)}; see {help estimation options##offset():estimation options}.

{dlgtab:Correlation}

{phang}
{opt corr(correlation)}, {opt force}; see
 {help estimation options##corr():estimation options}.

{dlgtab:SE/Robust}

{phang}
{opt vce(vcetype)}; see {it:{help vce_option}}.

{phang}
{opt robust}; see {help estimation options##robust:estimation options}.

{phang}
{cmd:scale(x2}|{cmd:dev}|{it:#}|{cmd:phi)} overrides the default scale
parameter of {cmd:scale(1)}; see
 {help estimation options##scale():estimation options}.

{phang}
{opt nmp}; see {help estimation options##nmp:estimation options}.

{dlgtab:Reporting} 

{phang}
{opt level(#)}; see {help estimation options##level():estimation options}.

{dlgtab:Opt options}

{phang}
{marker optimize_options}
{it:optimize_options} control the iterative optimization process.  These
options are seldom used.

{pmore}
{opt iter:ate(#)} specifies the maximum number of iterations.  When the number 
of iterations equals #, the optimization stops and presents the current results,
even if the convergence tolerance has not been reached.  The default value of 
{opt iterate()} is 100.

{pmore}
{opt tol:erance(#)} specifies the tolerance for the coefficient vector.  When 
the relative change in the coefficient vector from one iteration to the next is
less than or equal to #, the optimization process is stopped.  
{cmd:tolerance(1e-6)} is the default.

{pmore}
{opt nolog} suppress the display of the iteration log.

{pmore}
{opt tr:ace} specifies that the current estimates should be printed at each
iteration.


{title:Examples}

{phang}{cmd:. xtprobit y x, i(id)}

{phang}{cmd:. xtprobit y x, i(id) quad(16)}

{phang}{cmd:. xtprobit y x, i(id) pa robust}


{title:Also see}

{psee}
Manual:  {bf:[XT] xtprobit}

{psee}
Online:  {help xtprobit postestimation};{break}
{help xt}; {helpb probit}, 
{helpb quadchk}, {helpb xtcloglog}, {helpb xtdata}, {helpb xtdes},
{helpb xtgee}, {helpb xtlogit}, {helpb xtsum}, {helpb xttab}
{p_end}