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Re: st: RE: AW: mfx with tobit


From   Phil1899@gmx.de
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: AW: mfx with tobit
Date   Wed, 04 Mar 2009 15:15:20 +0100

Hi, 

thanks for your answers Martin and Carlo!

I am a little confused now, do people agree that robust tobit estimation does not account for heteroskedasticity? But what is it then good for? 

Best

Phil

-------- Original-Nachricht --------
> Datum: Wed, 4 Mar 2009 11:18:54 -0000
> Von: "Carlo Fezzi" <c.fezzi@uea.ac.uk>
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: RE: AW: mfx with tobit

> Phil,
> 
> I would not use intreg to fit a Tobit on heteroskedastic data, the
> estimates
> would be biased.
> 
> See the related post:
> 
> http://www.stata.com/statalist/archive/2006-12/msg00093.html
> 
> 
> You might be better off using CLAD or writing your own likelihood
> function,
> on this see:
> 
> http://www.stata.com/statalist/archive/2007-12/msg00600.html
> 
> 
> Cheers,
> 
> Carlo
> 
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Martin Weiss
> Sent: 04 March 2009 11:04
> To: statalist@hsphsun2.harvard.edu
> Subject: st: AW: mfx with tobit
> 
> 
> <> 
> 
> Phil,
> 
> -mfx- uses the conventions of -predict- after estimation commands, so you
> can obtain information about the options for -mfx- after -tobit- from 
> 
> 
> *************
> help tobit postestimation
> *************
> 
> Look for "Syntax for predict".
> 
> 
> 
> 
> 
> HTH
> Martin
> 
> 
> -----Ursprüngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von
> Phil1899@gmx.de
> Gesendet: Mittwoch, 4. März 2009 11:46
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: mfx with tobit
> 
> Hello,
> 
> I am running a regression model where the observations are censored from
> the
> left (at zero). Therefore, I use a Tobit model. Due to heteroskedasticity
> present in my data, I use the intreg command to obtain robust standard
> errors. However, I have two questions in this regard. 
> 
> First, the coefficients obtained from Tobit estimation cannot be directly
> interpreted. I found out that it is possible to use the mfx command to
> obtain the marginal effects and that different options exist to compute
> these effects; e.g. mfx, predict(e(0,1000)) or mfx predict(ystar(0,1000)).
> However, these commands lead to quite different results and I am not able
> to
> figure out which command is preferable in which situation?
> 
> Second, I have another dataset where the observations also pile up at
> zero,
> however, in this dataset the dependent variable does not only take on
> positive values, but sometimes also negative values. I am not sure which
> estimation technique is preferable in this case? 
> 
> I would appreciate any help,
> 
> best regards
> 
> Phil
> 
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