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From |
"Millimet, Daniel" <millimet@mail.smu.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: 2 limit tobit in system of demand equations |

Date |
Tue, 3 Jun 2003 14:40:21 -0500 |

Even if such a model exists in STATA, the model you propose, I believe, is not correct. There is a fairly substantial literature on estimating demand systems with binding non-negativity constraints (and, in your case, apparently binding upper constraints as well). The problem is that when an observation is at such a corner solution, the relevant RHS variable is no longer the market price, but the shadow price. In addition, there is a statistical issue that arises in such a model referred to as coherency. See the paper on my website (which is not published for a list of references in this area: http://faculty.smu.edu/millimet/pdf/corners.pdf). Dann -----Original Message----- From: Brunetti Mike [mailto:bruno49_99@yahoo.com] Sent: Tue 6/3/2003 2:25 PM To: statalist@hsphsun2.harvard.edu Cc: Subject: st: 2 limit tobit in system of demand equations 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 __________________________________ Do you Yahoo!? Yahoo! Calendar - Free online calendar with sync to Outlook(TM). http://calendar.yahoo.com * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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