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st: RE: xttobit with fixed effect???


From   "Steven Stillman (LMPG)" <Steven.Stillman@lmpg.dol.govt.nz>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xttobit with fixed effect???
Date   Mon, 28 Jul 2003 13:58:16 +1200

A standard tobit fixed effect model is inconsistent for the same reasons
that are probit/logit fixed effects models.  The fixed effects cannot be
treated as incidental parameters in non-linear models without biasing the
other model coefficients (as long as N > T).  Bo Honore (econ professor at
Princeton) has written a paper and provides Gauss code for estimating a
tobit fixed effect model taking a similar approach to the Chamberlain
conditional fixed effect logit estimator which exists in Stata (clogit).  I
gather that is should not be too difficult to rewrite this program as a
Stata program if desired, but that is just an educated guess.

Steve

> -----Original Message-----
> From:	david reinstein [SMTP:daaronr@yahoo.com]
> Sent:	Monday, July 28, 2003 6:06 AM
> To:	statalist@hsphsun2.harvard.edu
> Subject:	st: xttobit with fixed effect???
> 
> Is there any command to do this -- a tobit
> (censored/corner solution) model on panel data , or is
> the only way to do this to demean all of the variables
> and then run (regular) Tobit?  
> Maybe someone wrote an extension to xttobit?
> 
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