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Re: st: Grouped Tobit


From   Gordon Hughes <G.A.Hughes@ed.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Grouped Tobit
Date   Thu, 10 Nov 2011 09:26:34 +0000

For those who are unfamiliar with the terminology, the term "grouped tobit" is used in econometrics to refer to the analysis of responses that are nominally cardinal - i.e. money values - but which have been recorded by range rather than value: e.g. 1 = 0-5, 2 = 5-10, 3 = 10-20, etc. The tobit reference arises by assuming that the ranges are censored either at the bottom or the top end.

To answer the original question: I am not aware of a user-written procedure that implements grouped tobit. If you really want to do that, then you should probably use Limdep for the purpose as it has a richer range of econometric procedures for models with limited and dependent variables.

You should also consider whether a grouped tobit specification is really an improvement on, say, an ordered probit model, which is available in Stata via -oprobit- and other routines. The theory is that grouped tobit is more efficient because you can make use of knowledge of the upper and lower values of each category/range. However, in practical terms I am sceptical that most datasets with valuation ranges really embed consistent and reliable upper and lower values for each range. In many circumstances it may be more reasonable to assume that answers are ordinal rather than cardinal.

Regards

Gordon Hughes
g.a.hughes@ed.ac.uk

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