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Re: st: LR Test for intreg and tobit possible


From   "Scott Merryman" <scott.merryman@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: LR Test for intreg and tobit possible
Date   Fri, 1 Feb 2008 08:56:09 -0600

Keep in mind that the tobit model will produce inconsistent estimates
if there is heteroskedasticity.  You might want to take a look at
CLAD, censored quantile regression, or symmetrically censored least
squares.

For CLAD : -findit clad- to locate and download.

CQR: versions can be found at:
http://faculty.chicagogsb.edu/timothy.conley/research/qrcode/quantile.html
or  http://www.stata.com/statalist/archive/2006-09/msg00379.html

SCLS:  http://elsa.berkeley.edu/~kenchay/


Scott


On Jan 30, 2008 11:08 AM, Anita <anita.metzger@vtxmail.ch> wrote:
> Dear Statalistmembers
>
> I currently am doing research on testing the tobit model on
> heteroscedasticity.
> In previous postings I learned that I can get robust estimates using the
> command "intreg".  (is explained in the FAQ)
> As I want to test if heteroscedasticity is present I want to do an
> LR-test, as in the description of intreg it is mentioned that it is a
> generalization of the tobit command.
> So I thought I could use it as the unrestricted model.
> I am not sure if this is the right thing to do and  if it is, I would
> have to explain, what inreg actually does. (I don't know exactly, why it
> is a generalization).
> Could someone give an answer to this question? I hope it is not to silly
>
> Thanks, Anita
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