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st: RE: panel tobit with fixed effects


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: panel tobit with fixed effects
Date   Tue, 13 May 2008 14:20:56 +0100

Marcello,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Sartarelli, Marcello
> Sent: Tuesday, May 13, 2008 1:12 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: panel tobit with fixed effects
> 
> dear statalist,
>  
> i have a problem estimating the following panel tobit with a 
> doubly censored dependent variable y and, time-varying 
> regressors and individual fixed effects i.id where id is the 
> individual id variable:
>  
> xi : tobit y age tenure fsize reg2 reg3 decade2 decade3  i.id 
> if gender==0, ll(0) ul(1)

Will this yield a consistent estimator?  Probits with fixed effects
entered as dummies usually aren't, so I would be doubtful about a tobit.
See e.g.

http://www.stata.com/statalist/archive/2003-09/msg00103.html

Cheers,
Mark

> the panel dimension is 16000 individuals observed over 20 
> years but with attrition.
>  
> if i estimate it on a standard pc, it runs out of memory for 
> creating variable although maxvar is set to 32600.
> a super computer is insted taking days.
>  
> suggestions are very welcome.
>  
> if it is eventually not possible to estimate the model above 
> in stata, i'll try gauss using 
> http://www.princeton.edu/~honore/pantob/ 
> <http://www.princeton.edu/~honore/pantob/> 
>  
> thanks, m
> 
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