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


From   SamL <saml@demog.berkeley.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: tobit and SUR - software available to estimate it?
Date   Tue, 9 Dec 2003 07:55:41 -0800 (PST)

It is my understanding that SUR models give no advantage (in terms of
smaller standard errors) over single equation models if the independent
variables are the same across all equations.  I believe this is true for
the OLS version of SUR, but as I have never read about your interest--a
SUR tobit model--I am not sure the same logic applies.  If it *does*
apply, you are freed to estimate single equation tobits.

Hope this helps.
Sam

On Tue, 9 Dec 2003, Mark Hanly wrote:

> 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
> London WC1E 6BT
> tel +44 (0)20 7679 1584
> fax +44 (0)20 7679 1567
>
> www.cts.ucl.ac.uk
> www.cts.ucl.ac.uk/seminars
>
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