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

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

Subject |
st: Re: Re: Monte Carlo Simulation for Heteroskedastic Tobit Model |

Date |
Thu, 16 Apr 2009 23:46:37 +0200 |

<>

HTH Martin _______________________

To: <statalist@hsphsun2.harvard.edu> Sent: Thursday, April 16, 2009 11:41 PM Subject: st: Re: Monte Carlo Simulation for Heteroskedastic Tobit Model

Dear all First Thank you Martin & other statalist users Well I did find the book very helpful. Find a program that I have been able to now develop. But has a few problems clear all quietly set obs 30 global numobs 100 // sample size N global numsims "1000" // number of simulations set seed 678643594 program tobit, rclass version 10.1 drop _all set obs $numobs scalar a = 0 scalar b = 12 scalar mu = 5 scalar sigma = 4 generate u= runiform()generatey=normal((a-mu)/sigma)+u*(normal((b-mu)/sigma)-normal((a-mu)/sigma))generate ytrunc = mu + sigma*invnorm(y) generate x = rnormal() regress ytrunc x return scalar b2 = _b[x] return scalar se2 = _se[x] return scalar t2 = (_b[x]-2)/_se[x] return scalar r2 = abs(return(t2))> invttail($numobs-2,.025) return scalar p2 = 2*ttail($numobs-2,abs(return(t2))) end simulate b2r=r(b2) se2r=r(se2) t2r=r(t2) reject2r=r(r2) p2r=r(p2), /// reps($numsims): tobit mean b2r se2r reject2r My Questions now are: 1. Since I had generated 'ytrunc' as a truncated normal distribution, then to know the bias I cannot tell stata to generate 'ytrunc' based on a equation such as y = b1 + b2*x + u where b1 and b2 are specified. But if I do this then y goes to having a normal distribution and not a truncated normal distribution. 2. Another problem is to develop a heteroskedastic error term. Can I develop that using generate u= runiform() * c*z_factor Where c is a constant varying from 0.1 to 1.0 and the z_factor changes for each 'i' - then how do I define the z_factor?I would greatly appreciate any pointers that you could provide me in thisregardSincerely Sachin * * 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: Re: Monte Carlo Simulation for Heteroskedastic Tobit Model***From:*Sachin Chintawar <schint1@tigers.lsu.edu>

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