On the advantage of using two or more econometric software systems to solve the same problem

This paper illustrates the dangers of relying on just one software system to solve what appears to be a fairly routine probit model. It is shown that quite different results can be obtained using various well known software systems. In this example, at a superficial level of analysis, the differences were traced to the default convergence tolerances that are built into the statistical software. At a deeper level of analysis, the effect of the convergence tolerance on the solution indicates that the maximum likelihood estimate does not exist due to a formerly undetected quasi-complete separation problem. Using a Multivariate Adaptive Regression Splines (MARS) model to relax the assumption of constant coefficients, further implications are drawn from this dataset.