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Re: st: Box-Cox Tobit


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Box-Cox Tobit
Date   Mon, 27 Feb 2012 11:29:08 +0500

Hello,

What I guess from the -btobit- and issues related to the specification
of -tobit-, the abstract from

http://ideas.repec.org/c/boc/bocode/s457163.html

is here for your reference:

bctobit computes the LM-statistic for testing the tobit specification,
against the alternative of a model that is non-linear in the
regressors and contains an error term that can be heteroskedastic and
non-normally distributed. The test is carried out by taking a Box-Cox
transformation of the dependent variable [y^(lambda)-1]/lambda and
testing whether the parameter lambda=1. A rejection of the null
suggests that the Tobit specification is unsuitable, as an alternative
value for lambda would be required to return the linearity,
homoskedasticity and normality assumptions that are necessary for
consistent estimation. Critical values are obtained via the parametric
bootstrap, where the regressors are assumed to be stochastic.

What this implies, and what I understand is that if the Lambda is not
equal to 1 then as an alternative value for lambda would be required
to return the linearity, homoskedasticity and normality assumptions.

Hope this is of help

Best,
Anees

On Mon, Feb 27, 2012 at 10:14 AM, Mekhola Chatterjee
<mchatterjee07@gmail.com> wrote:
> Hello Anees,
>
> Thank you so much for your reply. I have already come across the
> -bctobit- command and the Box-Cox Double Hurdle model. But I am
> specifically interested in knowing about the Box-Cox Tobit model. I am
> just not sure whether after doing the Box-Cox transformation of the
> dependent variable, I can straight away use the tobit estimation
> command (-tobit-) and do my analysis? Will that help accounting for
> the non-normality problem? Or, after the Box-Cox transformation the
> likelihood itself will change and I have to write my own program?
>
> Any help would be much appreciated.
>
> Thank you so much.
>
> Regards,
>
> Mekhola
>
> On Sun, Feb 26, 2012 at 10:56 PM, Muhammad Anees <anees@aneconomist.com> wrote:
>> And the Stata ado named -btobit- works better in your case.
>>
>> If not already installed, you can install it from -ssc install btobit-
>> and then read the help file for discussion from -help btobit-.
>>
>> Hope this helps this time
>>
>> Best,
>> Anees
>>
>> On Mon, Feb 27, 2012 at 9:50 AM, Muhammad Anees <anees@aneconomist.com> wrote:
>>> Only a starting comment, the search results from the Statalist
>>> archives gives a related discussion. It is from
>>>
>>> http://www.stata.com/statalist/archive/2009-08/msg00861.html
>>>
>>> Hope this suits your need too.
>>>
>>> Best,
>>> Anees
>>>
>>> On Mon, Feb 27, 2012 at 9:37 AM, Mekhola Chatterjee
>>> <mchatterjee07@gmail.com> wrote:
>>>> Dear All,
>>>>
>>>> Can you please help me by letting me know how to do Box-Cox Tobit in
>>>> STATA. Can I make a box-cox transformation of my dependent variable
>>>> (which is skewed) and use the general Tobit (-tobit- command) model
>>>> for estimation? Or, there is any need to change the likelihood
>>>> function itself and then do the estimation? Could you please cite any
>>>> references?
>>>>
>>>> Please help.
>>>>
>>>> Thank you for your time.
>>>>
>>>> Regards,
>>>>
>>>> M. Chatterjee
>>>> *
>>>> *   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/
>>>
>>>
>>>
>>> --
>>>
>>> Best
>>> ---------------------------
>>> Muhammad Anees
>>> Assistant Professor/Programme Coordinator
>>> COMSATS Institute of Information Technology
>>> Attock 43600, Pakistan
>>> http://www.aneconomist.com
>>
>>
>>
>> --
>>
>> Best
>> ---------------------------
>> Muhammad Anees
>> Assistant Professor/Programme Coordinator
>> COMSATS Institute of Information Technology
>> Attock 43600, Pakistan
>> http://www.aneconomist.com
>>
>> *
>> *   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/



-- 

Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com

*
*   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/


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