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Re: st: Tobit Fixed Effects - Honore Trimmed LAD - violation ofassumptions


From   David Greenberg <dg4@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Tobit Fixed Effects - Honore Trimmed LAD - violation ofassumptions
Date   Thu, 27 Feb 2003 17:02:03 -0500

You might consider making your dependent variable the natural log of the odds ratio. It has a range of minus infinity to plus infinity, so you won't have to worry about having a dependent variable with a limited range. You could then go ahead and estimate a fixed effects model. David Greenberg, Sociology Department, New York University. 

----- Original Message -----
From: "Ngo,PT  (pgr)" <P.T.Ngo@lse.ac.uk>
Date: Thursday, February 27, 2003 4:17 pm
Subject: st: Tobit Fixed Effects - Honore Trimmed LAD - violation of assumptions

> Dear Mark and Stata-listers,
> 
> Thank you very much for your advice Mark, and for the reference.
> 
> Could you help me with another query ?  I would like to estimate a 
> model using a panel household data set over two years.  My left 
> hand side variable is a proportion, so it is both censored at 0 
> and 1.  As I want to control for household heterogeneity, and 
> given that the unobserved time-invariant effects are likely to be 
> correlated with the regressors, ideally, I would like to estimate 
> a tobit fixed effects model.  I know that there is no command in 
> Stata which would allow for it, Stata has only Tobit random 
> effects.  In a previous email, I was recommended the CLAD 
> function.  
> 
> Is this the same as the Honore (1992) trimmed least absolute 
> deviations that is reported in Baltagi 2001, 2nd edition, p. 212 ? 
> How can I I check for the violations of the different assumptions 
> underlying this estimation ?
> 
> If I use xttobit (RE), again, how can I check for the violations 
> of the different assumptions underlying the model (see Wooldridge, 
> 2002, eco analysis of cross section and panel data, p. 541) ?
> 
> Your guidance will be much appreciated.  Thank you very much in 
> advance.
> Thi Minh
> 
> 
> 
> ------------------------------------------------------------
> Date: Tue, 25 Feb 2003 18:09:32 -0000
> From: "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
> Subject: Re: st: 2SLS with a censored endogenous variable
> 
> You can use single-equation IV and it's consistent - no problem.  
> It's not hard to prove it or see that it's true because the 
> standard 
> proof of consistency of IV doesn't depend on the functional form 
> of 
> the equations your not estimating. ... But if you want a 
> reference, I 
> think there's a paragraph about it in J. Angrist and A. Krueger, 
> "Instrumental Variables and the Search for Identification," 
> Journal 
> of Economic Perspectives, Fall 2001.  Their reference is to an 
> endogenous variable that is a 1/0 outcome, but it's the same point.
> 
> Hope this helps.
> 
> - --Mark
> 
> 
> Subject:        	st: 2SLS with a censored endogenous variable
> Date sent:      	Tue, 25 Feb 2003 13:33:30 -0000
> From:           	"Ngo,PT  (pgr)" <P.T.Ngo@lse.ac.uk>
> To:             	<statalist@hsphsun2.harvard.edu>
> Send reply to:  	statalist@hsphsun2.harvard.edu
> 
> > Dear Stata-listers,  
> > 
> > Could someone give me some guidance on the following estimation 
> issue that I am having ?  
> > 
> > I would like to use 2SLS in order to control for the endogeneity
> > of one variable using ivreg (or xtivreg since I am estimating a
> > first-difference equation, using a two-year household panel data
> > set).  The credit variable (total amount of formal credit) that I
> > am instrumenting for is censored at 0 (about 50% of my households
> > do not have credit).  Given that the data is censored, the first
> > stage would be a tobit.  Is it still appropriate to use a linear
> > estimaton for the first stage ?  What is the impact on the
> > efficiency of the 2SLS/IV estimator and on the inference that I
> > can make ? 
> > 
> > I have looked into a number of books (Greene, Wooldrige 2001 and
> > 2002, Davidson MacKinnon) but I could not find a reference to this
> > problem.  Would someone know of a paper or a reference which
> > addressed this estimation issue and could help me make up my mind
> > as to what would be the best estimation strategy ? 
> > 
> > Your guidance would be much appreciated,
> > 
> > Thanks a lot in advance,
> > 
> > Thi Minh Ngo
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