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st: Re: tobit and SUR - software available to estimate it?


From   Mark Hanly <m.hanly@ucl.ac.uk>
To   John Kane <kane@Oswego.EDU>, statalist@hsphsun2.harvard.edu
Subject   st: Re: tobit and SUR - software available to estimate it?
Date   Tue, 09 Dec 2003 15:31:12 +0000

Hi John,

Thank you for your reply.

My feeling is that we cannot apply OLS in this case because we are looking at the share of total distance a person travels on a particular day by, for example, car. Many people not travel by car at all on a particular day so their dependent variable will be zero, whereas many others will travel exclusively by car on that day so their share of total distance travelled that day that is done by car is one. (And the same will be true for the other mode shares - transit and walking.)

The general advice seems to be that we would have to model this using a tobit model with 2 cluster points (at zero and one) if we model each equation separately because OLS, it is said, will give a poor fit and could introduce bias.

Because the independent variables are the same for each dependent variable, I would think that the error terms of each of the separate equations would be related somehow. Or, at least, this should be checked for/accounted for using some kind of SUR and the results compared with the three separate estimations.

However, I am open to all advice on this.

Regards,
Mark

At 10:21 09/12/2003 -0500, you wrote:

Hi,

If the independent variables are the same, the OLS and SURE estimators are equivalent. So, there is no gain in applying this estimator.

John Kane
Dept. of Economics
SUNY-Oswego
Mark Hanly
Research Fellow

ESRC Transport Studies Unit
University College London
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