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Re: st: How to choose consistent starting values


From   amatoallah ouchen <at.ouchen@gmail.com>
To   statalist@hsphsun2.harvard.edu, maartenbuis@yahoo.co.uk
Subject   Re: st: How to choose consistent starting values
Date   Tue, 1 Sep 2009 15:37:34 +0200

Good day Stata listers,

Thanks a lot Professor Maarten for your deep reply,
the  tobit model with friction is based on the limited dependant
variable (LDV) model of Tobin (1958) and Rosett (1959).I'm having the
code in Gauss,and I'wanted to switch to stata because of those same
starting points , but as I'm a newbie in sata I'couldn't do so, I've
already posted a query about that in stata list , but no one seems to
konw what I'm talking about, even in the stata press  there is a lot
about the other types of tobit model but nothing about the one i'm
using.

here is the model

y*t = xtβ + εt


·         yt = y*t - α1  if    y*t< α1

·          yt=0        if          α1< y*t< α2

·          yt = y*t- α2   if    y*t> α2

y*t   is the latent variable

with α1< 0  and   α2>0  and ε i.i.d, residuals of the estimation with
variance  σj². The parameters β, α1 α2 and σ are solved by maximising
a  log-likelihood function.

Ln L =   ∑ ln (1/2πσj²)1/2 -∑(yjt+α1j-βjxt)²/2 σj² +
       t€ψ1
∑ ln (1/2πσj²)1/2 -∑(yjt+α2j-βjxt)²/2 σj²+
t€ψ2
∑ln[Ф((α2j-βjxt)/ σj)- Ф((α2j-βjxt)/ σj)]
t€ψ3

As I've told you my principal  problem is on how to find out
consistent  starting points, any help would be highly appreciated !!!

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