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st: RES: RE: panel tobit with fixed effects


From   "Fernando Cunha" <fcunha@siglasul.com.br>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RES: RE: panel tobit with fixed effects
Date   Fri, 23 Mar 2012 17:50:32 -0300

Thank you David, 
as Anders said "Honoré (1992) has developed a semiparametric estimator for
fixed-effect tobit models." He has an available ado file for this named
pantob.ado at http://www.princeton.edu/~honore/stata/index.html. " But the
language of this file is gauss. Tobit is a non linear function and the
likelihood estimator for fixed effects is biased and inconsistent. 

http://www.soderbom.net/lecture15final.pdf


Regards,

Fernando Cunha


-----Mensagem original-----
De: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Em nome de Jacobs, David
Enviada em: sexta-feira, 23 de março de 2012 17:15
Para: 'statalist@hsphsun2.harvard.edu'
Assunto: st: RE: panel tobit with fixed effects

Probit provides one part of the Tobit estimator, but I don't think a
fixed-effect version of probit is possible, although a colleague in
economics once claimed this isn't so.

In any case, just throwing in case dummies to get fixed-effects only works
for least squares (and then the standard errors probably will be off a bit)
and maybe some count models.  It most certainly is not a good idea for a
tobit model.

Dave Jacobs

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Fernando Cunha
Sent: Friday, March 23, 2012 12:14 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: panel tobit with fixed effects

Dear Statalisters,


I am trying to estimate a panel tobit model with fixed effects. 

I know that stata only estimate panel tobit model with random effects.

I have a balanced panel. 

Can you help me?

Regards

Fernando Cunha

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