Dear all,

I'm estimating a dynamic random effects probit model assuming a first order Markov process accounting for the initial condition bias with Wooldridge (2005) method.
Based on xtprobit outcome lag.outcome controls initialcondition.controls, re I get the following coefficient for lnsig2u, sigma_u, and rho and their standard errors, respectively:
Coef. Std. Err.
/lnsig2u -.0139146 .3804387
sigma_u .9930669 .1889005
rho .4965214 .0951051
LR test of rho=0: chibar2(01) = 20.42 Prob >= chibar2 = 0.000


I was wondering how to make statements about the statistical significance of lnsig2u, sigma_u, and rho and would really appreciate any comments on that.

Thanks!


Wooldridge, J. M. (2005). Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity. Journal of Applied Econometrics, 20(1), 39–54. https://doi.org/10.1002/jae.770