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st: RE: RE: PANEL TOBIT


From   "McKenna, Timothy" <[email protected]>
To   <[email protected]>
Subject   st: RE: RE: PANEL TOBIT
Date   Sun, 5 Dec 2004 16:37:39 -0500

Tobit models are generally inconsistent with non-normal errors (Greene 5ed, page 771).  Using a variance estimate robust to non-normality will not solve this problem.  Perhaps this is the reason that it has not been implemented.

-Tim

-----Original Message-----
From: Nick Cox [mailto:[email protected]]
Sent: Sunday, December 05, 2004 11:38 AM
To: [email protected]
Subject: st: RE: PANEL TOBIT


Third posting of this question. Please 
see the injunction to restrict yourself 
to _at most one repeat posting_ at 

http://www.stata.com/support/faqs/res/statalist.html#noanswer

As far as I can judge, this hasn't been implemented. 

Nick 
[email protected] 

naceur khraief
 
> I want to estimate a PANEL Tobit models with Robust Maximum 
> Likelihhod 
> estimator. Do you Have an idea about the stata command 
> associate to the 
> maximum likelihood robust standard errors. Because these 
> standards errors 
> are Huber-White estimates and are robust to the
> problem of non-normality and heteroscedasticity in residual variance.

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