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From |
"Holmes, Jessica" <jholmes@middlebury.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: hetereoskedasticity/serial correlation with RE xtprobit xttobit? |

Date |
Mon, 9 Jul 2007 09:25:59 -0400 |

First, I want to thank everyone for their helpful responses to my query. You all have been a fantastic resource! Austin: thanks for your recommendations regarding the specification of the model (e.g., -poisson- and year effects). Those are terrific suggestions. Thank you. Attaulla: With regard to using -robust- to correct for heteroscedasticity and autocorrelation, it is an invalid option for xtprobit and xttobit in Stata 9. I have asked for an upgrade to Stata 10 in the hopes that this option is available for -xtprobit-, -xttobit- and now -xtpoisson- in the new release. Arne: thanks for the recommendation on -oglm-, -clogithet-, -hetprob-. My concern with the these commands is that I need to provide user-defined variables as sources of the heteroscedasticity. I don't have any priors on what these variables might be--but I am happy to go through my list and use the LM test to test for heteroscedasticity. I am still stuck on a test for autocorrelation, but this has been a great help. If the -robust- standard errors correct for both heteroscedasticity and autocorrelation and they are available in Stata 10, perhaps my problem is solved? Thanks all! Jessica -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Arne Risa Hole Sent: Saturday, July 07, 2007 6:24 AM To: statalist@hsphsun2.harvard.edu Subject: Re: st: hetereoskedasticity/serial correlation with RE xtprobit xttobit? In my rush yesterday I forgot to mention Richard Williams' -oglm- module which can also be used to estimate heteroscedastic logit and probit models with cluster-robust SEs. This is an easier option for estimating the heteroscedastic binary logit than -clogithet- since you won't have to reshape your data. Arne On 06/07/07, Arne Risa Hole <arnehole@gmail.com> wrote: > Thanks Austin for mentioning my -clogithet- module and paper. I'm > afraid, however, that -clogithet- does not estimate a fixed effects > logit with heteroscedasticity but McFadden's choice model with het - > although Stata's -clogit- command can estimate homoscedastic versions > of both of these -clogithet- only does the latter unfortunately. > > What you could do is estimate a hetersocedastic binary logit model > with het using -clogithet- with cluster-robust standard errors, along > the lines of AttaUllah Shah's suggestion. You can also use -hetprob- > in this manner if you prefer a probit model. > > Arne > > On 06/07/07, Austin Nichols <austinnichols@gmail.com> wrote: > > Jessica <jholmes@middlebury.edu> : > > I don't know about the tests for het or clustering after -xtprobit- > > and -xttobit- (perhaps someone else on the list can address these). > > -ssc install clogithet- gives you a test for heteroskedasticity in a > > fixed-effects logit model, described in > > > > Hole, A.R., 2006. Small-sample properties of tests for > > heteroscedasticity in the conditional logit model. Economics Bulletin > > 3, 1-14. > > http://economicsbulletin.vanderbilt.edu/2006/volume3/EB-06C20063A.pdf > > > > However, it seems to me your reviewer missed the main problem, that > > -xttobit- is the wrong model. You seem to be estimating ln(real y + 1) > > as a function of X with a lower limit of 1. But ln(1)=0 --how many > > left-censored observations does Stata report? Is it the same as the > > number of obs where y=0?. Or perhaps you are estimating ln(real y + > > exp(1)) as a function of X with a lower limit of 1, where the lower > > limit makes more sense for a depvar y>=0. This still assumes that > > the values observed at zero really should be mostly negative, and the > > underlying distribution is normal, but this is unlikely to be the > > case. What you really want is a GLM model or -poisson- type model, > > right? See e.g. > > http://www.stata.com/statalist/archive/2007-04/msg00549.html > > http://www.stata.com/statalist/archive/2006-12/msg00466.html > > I would recommend you replace -xttobit- using lnreal1 as the depvar > > with -xtpoisson- using real as the depvar. > > > > In general, adding some number to y, taking the log, and running a > > -tobit- type model is unjustifiable. For one, your estimates will > > differ depending on what number you specify, and there is rarely a > > theoretical justification for one number over another. > > > > On a more substnantive point, are there no fixed time effects in your > > model? To the extent that marginal tax rates and the deductability of > > giving varies over time, you would at least want to include year > > effects, I think, even if you can't estimate first-dollar marginal tax > > rates for individuals (to get a plausibly exogenous tax-price of > > giving). > > > > > > On 7/6/07, Holmes, Jessica <jholmes@middlebury.edu> wrote: > > > Hope someone can help! I am using a panel data set that looks at > > > charitable giving for 22,000 individuals over 15 years. > > > > > > I use a random effects Probit to predict whether an individual donates > > > in a given year and a random effects Tobit to predict how much he/she > > > gives each year: > > > > > > xtprobit donate male yrsgrad yrsgradsq mar alumnicloserelative > > > med_income artsent bankfin commedia comptech consulting education > > > environmental govtpp healthcaremed intlang law nonprofitsocialservices > > > profservicesbus salesmarketing ownbusiness mileslt250 reunion soc > > > affinity acad devug arts campus sports otheract socsci natsci art > > > nongrad loans_z grants_z finaid_miss djia_pctch campaignyr hock_pc rank > > > hock_pc_male hock_pc_yrsgrad hock_pc_sports rank_male rank_yrsgrad if > > > stillug==0, i(pidm) > > > > > > xttobit lnreal1 male yrsgrad yrsgradsq mar alumnicloserelative > > > med_income artsent bankfin commedia comptech consulting education > > > environmental govtpp healthcaremed intlang law nonprofitsocialservices > > > profservicesbus salesmarketing ownbusiness mileslt250 reunion soc > > > affinity acad devug arts campus sports otheract socsci natsci art > > > nongrad loans_z grants_z finaid_miss djia_pctch campaignyr hock_pc rank > > > hock_pc_male hock_pc_yrsgrad hock_pc_sports rank_male rank_yrsgrad if > > > stillug==0, ll(1) i(pidm) > > > > > > > > > I have been asked by a referee to > > > > > > 1) test for hetereoskedasticity and correct if necessary > > > > > > and > > > > > > 2) test for serial correlaton and correct if necessary. > > > > > > Stata does not seem to have any commands to detect and/or correct for > > > hetereoskedasticity and serial correlation for xtprobit or xttobit. Any > > > suggestions would be most appreciated... > > > > > > Thanks, > > > > > > Jessica > > * > > * 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/ > > > * * 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/ * * 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/

**Follow-Ups**:**Re: st: hetereoskedasticity/serial correlation with RE xtprobit xttobit?***From:*"Austin Nichols" <austinnichols@gmail.com>

**References**:**Re: st: hetereoskedasticity/serial correlation with RE xtprobit xttobit?***From:*"Arne Risa Hole" <arnehole@gmail.com>

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