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Re: st: Outlier diagnostics for tobit (postestimation)


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Outlier diagnostics for tobit (postestimation)
Date   Fri, 19 Oct 2012 10:28:09 +0200

On Thu, Oct 18, 2012 at 9:56 PM, Nick Cox wrote:
> This is very similar to questions asked within the last week in
> various threads started by Ebru Ozturk.
>
> One short answer is
>
> 1. Not much is obviously available, as the idea of residuals is
> problematic if the response is bounded by definition.
>
> 2. You can always try simulating to see what would happen with what
> you regard as a reasonable data generation process.

See: <http://www.stata.com/statalist/archive/2012-10/msg00646.html>
for an example on how to do that.

> 3. You should be clear that you really do have a tobit problem and not
> one analogous to a logit or probit problem.

You can compute the dfbetas using -jackknife-, see the post by Steve
Samuels: <http://www.stata.com/statalist/archive/2012-03/msg00669.html>

Applying that to -tobit-:

*----------------- begin example -----------------
// prepare data
sysuse auto, clear
gen wgt = weight/2000
label var wgt "weight in short tons"
replace mpg = 17 if mpg <= 17

// compute dfbetas
local xvars wgt foreign price

jackknife _b, keep: tobit mpg `xvars', ll
tobit mpg `xvars', ll

foreach z of local xvars {
di e(N_sub)
	gen dfb_`z' = ///
	(1/_se[`z'])* (model_b_`z'-_b[`z'])/(e(N)-1)
}
sum dfb*
*------------------ end example ------------------
(For more on examples I sent to the Statalist see:
http://www.maartenbuis.nl/example_faq )

-- Maarten

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------
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