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Re: st: Manual calculation of scale factors after tobit and/or truncreg [econometrics help]

From   Clara Mukuria <>
Subject   Re: st: Manual calculation of scale factors after tobit and/or truncreg [econometrics help]
Date   Fri, 12 Oct 2012 11:36:16 +0100

Thanks Marteen. Its not the SE of the estimate I am after. Rather, its how to adjust the linear predictions from Tobit/truncreg to the expexted values conditional on either censoring (for Tobit) or truncation (for Truncreg). STATA does this automatically for you but I need to work out how to do it manually as the out of sample estimation will not be done in STATA - nor will those doing these estimations have access to the original dataset.


Maarten Buis said the following on 12/10/2012 08:11:
On Thu, Oct 11, 2012 at 8:34 PM, Clara Mukuria wrote:

I am trying to work out how to calculate the scale factor used to adjust
results after a tobit and/or a truncreg regression.

I assume you mean what in "normal" linear regression would be the
standard deviation of the residual/root mean squared error/standard
error of the estimate. This parameter is returned in the vector of
parameters e(b). One way you can access it is through
[sigma]_b[_cons], for example -display [sigma]_b[_cons]-.

I know there are several post estimation options, I am using the 'predict y,
ystar(ll, ul)' option to assess how well the the model predicts. However,
the aim is to provide generate a mapping function that can be used in other
datasets to predict the single generic measure so I need to work out the
scale factor.

You can just estimate your model in one dataset, open another dataset
and than use -predict-. You need to make sure that the
independent/explanatory/right-hand-side/x variables in both datasets
have the same name (how else would Stata know which parameter to apply
to which variable?), but otherwise there are no restrictions.

Hope this helps,

Maarten L. Buis
Reichpietschufer 50
10785 Berlin
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Clara Mukuria PhD
University of Sheffield
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Sheffield, S1 4DA, UK


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