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st: Re: Tobit coefficients


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Tobit coefficients
Date   Tue, 23 Mar 2004 21:05:12 -0600

Stefan,

The output of -tobit- gives the estimated coefficients that are related to the
latent variable y*. It shows the effect of a change in a given x variable on the
expected value of the latent variable, holding all other x variables constant.
In Stata Manual example, the OLS coefficients of the latent model are compared
to the estimated latent effects of the tobit model E[y*|x].  But this is just
for illustration (see technical note, page 253) is you had uncensored sample
there would be no reason to use a tobit model.

If you are comparing the OLS marginal effects estimated on the observed data,
than you would want use the expected unconditional of the observed data E[y|x].
Usually, the marginal effects of the latent variable, y*, are not of interest
since it is unobserved -- we only observe y* if it above a threshold.  Though
why would you want to compare them to OLS coefficients, since the OLS
coefficients will be inconsistent?

Hope this helps,
Scott

----- Original Message ----- 
From: "LACHENMAIER" <LACHENMAIER@ifo.de>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, March 23, 2004 8:11 AM
Subject: st: Tobit coefficients


> Hi all,
>
> I have some problems with the output of the Tobit command. I always
> thought that the coefficients presented after the tobit command are the
> "pure" tobit coefficients, i.e. if I want to compare them to OLS
> coefficients I have to rescale them by an adjustment factor (which
> depends on whether I want to get the unconditional effect E(y | y,x), or
> the conditional effect E(y | y>0,x), like described e.g. in Wooldridge
> (2003, ch. 17.2).
>
> But then I had a closer look at the Stata manual (Stata 8) because I
> wanted to learn more about the possibilities with mfx compute,
> predict(). But in the first tobit example in the manual (p.252) the
> tobit coefficient is directly compared to the OLS coefficient. So I am a
> bit confused what the output of the tobit command really is now and how
> to calculate which effects....
>
> Maybe someone can help me here.
> Thanks in advance
>
> Stefan
>
> PS: Sorry for posting this problem again, but I have not solved the
> problem yet. Thanks!
>
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