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From |
"Carlo Fezzi" <c.fezzi@uea.ac.uk> |

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

Subject |
st: MVTOBIT, how to specify initial values for the correlation matrix |

Date |
Thu, 5 Feb 2009 19:54:48 -0000 |

Dear all, I am using the Stata module MVTOBIT to estimate multivariate Tobit with 9 equations. As suggested in the help file, I am trying to reduce the computing time giving initial values for the correlation and standard deviation matrix using the atrho0(matrix) option. Apologies if this might look dull, but from the help file I cannot figure out how this matrix has to be specified. The help states: atrho0(matrix_name) allows users to specify starting values for the standard deviations and correlations that are different from the default values (zeroes and ones, respectively). The matrix matrix_name contains values of the incidental parameters, /lnsigmai and /atrhoij, for the M equations. Matrix matrix_name must have properly named column names. E.g., if a starting value in /atrho12 is being set, one would first use the command matrix matrix_name = (value), followed by matrix colnames matrix_name = atrho12:_cons. Between 1 and M(M-1)/2 /atrhoij, and between 1 and M /lnsigmai starting values may be specified, where i = 1,...,M-1, and j > i. One likely source for a non-default starting value for atrhoji is the /athrho parameter estimate from a bivariate model corresponding to equations i and j of the full mvtobit model. I tried to follow the instructions to understand what was going on simply typing: matrix matt = (0.21) matrix colnames matt = atrho12:_cons But MVTOBIT stops with the message: ?initial values not feasible? Whereas if I do not specify the option ?atrho0(matt)? the code works fine. If anybody could provide an example of how this option has to be properly used I would be really grateful. All the best, Carlo ************************************************** Carlo Fezzi Senior Research Associate Centre for Social Research on the Global Environment (CSERGE) Department of Environmental Sciences University of East Anglia Norwich (UK) NR2 7TJ Telephone: +44(0)1603 591385 Fax: +44(0)1603 593739 ************************************************* * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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