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RE: st: Standardized tobit coefficients


From   "SEVIGNY, ERIC" <SEVIGNY@mailbox.sc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Standardized tobit coefficients
Date   Wed, 1 Oct 2008 22:56:11 -0400

Thanks for your suggestion. However, in the interest of keeping things
uncomplicated, I left out some elements of my analysis. First, I am
using -svy- to analyze complex survey data. Second, I also need to
generate analogous standardized coefficients for a truncated regression
model. Unfortunately, -listcoef- is not survey aware, nor is -truncreg-
one of the usable commands with -listcoef-. So, I'm still at square one.

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Richard
Williams
Sent: Wednesday, October 01, 2008 11:34 PM
To: statalist@hsphsun2.harvard.edu; statalist@hsphsun2.harvard.edu
Subject: Re: st: Standardized tobit coefficients

At 08:32 PM 10/1/2008, SEVIGNY, ERIC wrote:
>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

You can probably use Long & Freese's -listcoef- command with the 
-std- option.  From within Stata, type

findit spost9

Long & Freese's excellent book describing this and several other 
commands can be found at

http://www.stata.com/bookstore/regmodcdvs.html





-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME:   (574)289-5227
EMAIL:  Richard.A.Williams.5@ND.Edu
WWW:    http://www.nd.edu/~rwilliam

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