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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

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

Subject |
Re: st: AW: double hurdle model with Tobit second stage estimation |

Date |
Wed, 25 Feb 2009 20:51:32 +0100 |

<> http://www.stata-journal.com/sjpdf.html?articlenum=st0040 HTH Martin _______________________

To: <statalist@hsphsun2.harvard.edu> Sent: Wednesday, February 25, 2009 8:46 PM Subject: Re: st: AW: double hurdle model with Tobit second stage estimation

Hi Erickson,I do not seem to get the paper in The Stata Journal. Actually I have noaccess to the journal. However, if I get you correctly do I estimate aprobit model of the first stage then before estimating the tobit model Iwrite " drop if <var> == 0 ", then estimate the Tobit directly? Will thissolve my problem whereas the Tobit model does not account for the jointcorrelation of the error terms in the two models?For your information the dependent variable in the second stage is acontinuous variable with 70% pile up of zeros not count.Saha et. al, 1997 ( Applied Economics, 1997, 29, 1311-1316) in their paperon "Calculating Marginal effects for zero expenditures ....." argue thatthe problem can be solved by adding inverse of the Mills Ration of thefirst stage Probit. This is equivalent to the two stage Heckman selectionmodel which I am not sure solves my problem.I am wondering which would help? Kirimi Erickson, Ken wrote:Hi David and 'Statalisters', My colleague Mike just suggested this: ...Ken, Can you send my response to him? You need to use a drop statement drop if <var> == 0 Do this before the second stage...See "From the help desk: hurdle models," The Stata Journal, 2003, 3,Number 2, pp.178-184.Hope this helps! Ken Erickson -----Original Message-----From: owner-statalist@hsphsun2.harvard.edu[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of David JacobsSent: Wednesday, February 25, 2009 1:47 PM To: statalist@hsphsun2.harvard.eduSubject: Re: st: AW: double hurdle model with Tobit second stageestimationYou've probably thought of this as well, but what about the -zip-or -znb- models in Stata. Those options allow large proportions of zerosin your outcome variable.Is the problem with these models that the values above zero are notintegers? If they are integers or could be made into integers withoutmessing things up, then these two equation count estimators might work.Dave Jacobs At 01:16 PM 2/25/2009, you wrote:Heckprob is not appropriate in my case. Heckprob would treat the pile ofzeros i have as unobserved whereas the Tobit treats them as observedzeros. This is the case in my data and therefore heckprob is not anappropriate model. I could run a first stage Probit then a second stageTobit. However, the Tobit in the second stage does not use all the dataobserved and hence the standard errors will not be correct leading towrong t statistics and be unable to interpret the results.Kirimi Martin Weiss wrote:<> Have you looked into ************* help heckprob ************* ? HTH Martin -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von KirimiSindiGesendet: Mittwoch, 25. Februar 2009 17:43 An: statalist@hsphsun2.harvard.edu Betreff: st: double hurdle model with Tobit second stage estimation Hey,I working on a double hurdle model. The first stage is a Probit modeland the second stage is Tobit due to pile up of zeros. Is there a doprogram that can assist me in this procedure to get the correctstandard errors accounting for the first stage estimation?Thank you, Kirimi-- *******************************Imagination is more important than knowledge. For while knowledgedefines all we currently know and understand, imagination points to allwe might yet discover and create.******************************* Kirimi Sindi PhD Candidate Department of Agricultural, Food, and Resource Economics Room 20 Cook Hall Michigan State University East Lansing, MI 48824 Telephone: +1-517-353-5320 Home Tel : +1-517-355-8151 Fax: +1-517-432-1800 * * 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/* * 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/ * * 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/-- *******************************Imagination is more important than knowledge. For while knowledge definesall we currently know and understand, imagination points to all we mightyet discover and create.******************************* Kirimi Sindi PhD Candidate Department of Agricultural, Food, and Resource Economics Room 20 Cook Hall Michigan State University East Lansing, MI 48824 Telephone: +1-517-353-5320 Home Tel : +1-517-355-8151 Fax: +1-517-432-1800 * * 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/

* * 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/

**References**:**st: double hurdle model with Tobit second stage estimation***From:*Kirimi Sindi <sindijul@msu.edu>

**st: AW: double hurdle model with Tobit second stage estimation***From:*"Martin Weiss" <martin.weiss1@gmx.de>

**Re: st: AW: double hurdle model with Tobit second stage estimation***From:*Kirimi Sindi <sindijul@msu.edu>

**Re: st: AW: double hurdle model with Tobit second stage estimation***From:*David Jacobs <jacobs.184@sociology.osu.edu>

**RE: st: AW: double hurdle model with Tobit second stage estimation***From:*"Erickson, Ken" <ERICKSON@ers.usda.gov>

**Re: st: AW: double hurdle model with Tobit second stage estimation***From:*Kirimi Sindi <sindijul@msu.edu>

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