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From |
jpitblado@stata.com (Jeff Pitblado, StataCorp LP) |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Design-based truncated regression |

Date |
Fri, 08 Oct 2004 11:07:21 -0500 |

Apologies for the repost, but I forgot the subject line. Eric Sevigny <els21+@pitt.edu> needs to use -truncreg- with survey data: > My question involves Stata's capability to estimate design-based truncation > regression models. I am using complex survey data, incorporating weights, > strata, and psu. I also have a truncated dependent variable in which I have > no observations for cases when y is below a certain cutoff and, therefore, > want to estimate a truncated regression model. While Stata's survey > estimation capabilities include models for other limited dependent > variables (e.g., svyintreg), it does not explicitly implement this > capability for truncated regression. Thus, as I see it, I have several > options, which I would appreciate any comment on. > > 1) Use -truncreg- options to estimate truncated regression models that > partially adjust for design elements. Specifically, that would mean > ignoring strata (or disaggregating analyses by strata) while accounting for > just the pweights and clusters. This is unsatisfactory because (i) possible > problems in variance estimates for analyses that are not fully > disaggregated by strata and (ii) problems with having incorrect df in any > postestimation tests. > > 2) Estimate totally model-based -truncreg- and then use -suest- to survey > adjust the estimates. Unfortunately, this won't work unless -truncreg- is > somehow reprogrammed to accept iweights, which are needed for use with > -suest-. Even if this capability were implemented, I am not sure > postestimation tests would be performed with correct df. > > 3) This is probably the best option, but I'm not sure I have the > statistical/programming ability to implement it. It is to use Stata's -ml- > capabilities to create an estimation command that accounts for both the > truncation and survey design. I know -ml- has survey estimation > capabilities, but am not sure if truncated regression estimation has any > inherent or theoretical limitations for such implementation. > > In any event, I would greatly appreciate any technical, methodological, > programming, and/or theoretical comments anyone could provide on this issue. There is no reason why -truncreg- does not accept -iweight-s. If it did, then option 2) above is the way to go. We will add -iweight-s to -truncreg- and hopefully have this change avaible in the next ado-file update. > Even if this capability were implemented, I am not sure postestimation tests > would be performed with correct df. -suest-, when used with the -svy- option will result in the correct df: e(df_r) = # of PSUs - # of Strata --Jeff jpitblado@stata.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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