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st: Standardized tobit coefficients

From   "SEVIGNY, ERIC" <>
To   <>
Subject   st: Standardized tobit coefficients
Date   Wed, 1 Oct 2008 21:32:52 -0400

Dear Stata Users:

I am trying to obtain standardized tobit coefficients per Long (1997).
Initially, I calculated the standardized tobit coefficients after
estimation per Roncek (1992) as follows:

foreach var of varlist x1 x2 x3 etc. {
      quietly sum `var' 
      display as result "beta* `var' =" (_b[`var']*r(sd))/.5697083)

where .5697083 is sigma reported by the tobit model.

Long (1997) criticized this approach because sigma is conditional on x.
He suggests instead to use the unconditional variance of y* computed
with the quadratic form, where r_(y*)^2=B'Var(x)B+s_e^2 (which I read as
the unconditional variance of Y* equals the variance/covariance matrix
of x plus an error term). Unfortunately, I am having difficulty with
transferring this formula into Stata. I am unfamiliar with using and
accessing matrix information, and hope someone on the list could offer
some help.

Thanks in advance.

Eric L. Sevigny

J. Scott Long (1997) Regression Models for Categorical and Limited
Dependent Variables. Sage Publications.

Roncek, D.W. (1992). Learning More From Tobit Coefficients: Extending a
Comparative Analysis of Political Protest. American Sociological Review
57(4): 503-507.

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