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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 11:54:01 +0200

On Fri, Oct 19, 2012 at 11:48 AM, Timo Beck wrote:
> Once again quickly re my other question, maybe you also have an opinion on whether, just as a robustness test, I could fit OLS as an approximation of the tobit model and use outlier diagnostics thereafter and then simulate the tobit without these identified cases? Or would I be doing something completely wrong? According to Wooldridge a linear model is a good approximation for E(y) in a corner solution model which is what I am looking at. That's why I am thinking that way.

I would not do that. It is possible that a linear regression is a good
approximation of a tobit model in your data, but there is no
guarantee. Moreover, it is not necessary as you can compute dfbetas in
a tobit model, as I have shown before:
<http://www.stata.com/statalist/archive/2012-10/msg00865.html>

-- Maarten

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

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

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