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Re: st: Design-based truncated regression
Apologies for the repost, but I forgot the subject line.
Eric Sevigny <email@example.com> 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
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