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st: Generalized residuals after tobit


From   Fabien Bertho <fabien.bertho@sciences-po.org>
To   statalist@hsphsun2.harvard.edu
Subject   st: Generalized residuals after tobit
Date   Wed, 30 Nov 2011 18:32:07 +0100 (CET)

Hello,

I am computing generalized residuals after a tobit regression in order to test for normality and heteroskedasticity.

In the Microeconometrics using Stata handbook (by Cameron and Trivedi) I found an example for left censored models. However, I am running a right censored model.

Does anyone can confirm that I am using right formulas (I have notably doubt about the computation of the threshold)?

Thank you.

Fabien



gen dy= 'depvar'<-.473851     (the upper limit censoring point is -.473851)

tobit 'depvar' 'expvar', ul robust cluster(distance)

predict xb, xb
matrix btobit=e(b)
scalar sigma=btobit[1,e(df_m)+2]
generate threshold=(xb+.473851)/sigma
generate lambda=normalden(threshold)/normal(threshold)

quietly generate uifdyeq1=(ln_mtc_advalorem-xb)/sigma if dy==1
quietly generate double gres1=uifdyeq1
quietly replace gres1=-lambda if dy==0

quietly generate double gres2= uifdyeq1^2-1
replace gres2 =-threshold*lambda if dy==0
quietly generate double gres3= uifdyeq1^3
replace gres3 =-(2+threshold^2)*lambda if dy==0
quietly generate double gres4= uifdyeq1^4-1
replace gres4=-(3*threshold+threshold^3)*lambda if dy==0


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