Stata users:
I was wondering if there was a command in stata, or
possibly, an .ado file that can estimate a system of
demand equations with censoring on both sides.
Specifically, I am trying to estimate a system of 2
demand equations which are censored at 0 and 1.
I know that I can estimate a single equation using the
“tobit” command but how can I estimate two equations
simultaneously?
Here is the model I would like to estimate:
For 3 goods the observed expenditure share on each is:
C, S, H
C* and S* represent the desired expenditure share on
each good:
C*=Xb1+e1
S*=Xb2+e2
Where X is a matrix of variables, b1 and b2 are
coefficients, and e1 and e2 are errors.
The system is defined as:
C= 0 if C*<=0
C* if 0<C*<1
1 if C*>1
S= 0 if S*<=0
S* if 0<S*<1-C
1-C if S*>1
H=1-C-S
The equations for C and S are each two limit tobits.
But estimating this system simultaneously is
complicated. Any help or suggestions would be greatly
appreciated.
Thanks a lot.
Mike
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