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From |
Maarten buis <maartenbuis@yahoo.co.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: How to choose consistent starting values |

Date |
Tue, 1 Sep 2009 14:48:38 +0000 (GMT) |

--- On Tue, 1/9/09, amatoallah ouchen wrote: > the tobit model with friction is based on the limited > dependant variable (LDV) model of Tobin (1958) and Rosett > (1959). here is the model > > y*t = xtb + et > > > yt = y*t - a1 if y*t< a1 > yt=0 if a1<y*t< a2 > yt = y*t- a2 if y*t> a2 > > y*t is the latent variable > > with a1< 0 and a2>0 > and e i.i.d, residuals of the estimation with > variance sj^2. The parameters b, a1 a2 and s are > solved by maximising a log-likelihood function. I have two thoughts: 1) If the a's are known than you should be able to use -intreg- to fit this model. I am a bit worried about estimating the a's. First, it seems to me highly improbable that the data contains enough information to reliably estimate these parameters (other than a1 is largest observed y less than 0 and a2 is the smallest observed y more than 0). Second, in many cases we already have a good idea about what these values may be, either from the questionair design or by looking at the observed y-s, so why not use this information. So I would just fix these at reasonable values, and use -intreg-. 2) When I am creating a program using -ml- and it doesn't converge the problem has always been an error my likelihood function (a bracket in the wrong place, a lost minus sign, etc.), and never in the starting values. I realize that not everybody is as sloppy as I am, but it is an indication about what may be going on. Hope this helps, Maarten Ps. The Statalist FAQ explicitly askes everybody to give full references and not just author-year references. The reason is that this list is read by people from many different disciplines, and most references that are world famous in one's own sub-sub-discipline (and can thus be dealt with with a name-year reference) are completely unknown to the rest of the world. -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * 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**:**Re: st: How to choose consistent starting values***From:*amatoallah ouchen <at.ouchen@gmail.com>

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