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Re: Re: st: Formally comparing Tobit and Probit estimates


From   Maarten Buis <[email protected]>
To   [email protected]
Subject   Re: Re: st: Formally comparing Tobit and Probit estimates
Date   Wed, 22 Jan 2014 15:43:17 +0100

On Wed, Jan 22, 2014 at 3:02 PM, Christopher Baum <[email protected]> wrote:
> The reason why it doesn't make much sense to compare the -probit- and -tobit- coefficients is that for probit, the latent
> variable is unobserved for all observations, whereas for tobit, the latent variable is only latent for the censored observations.
> Thus the information going into the estimation differs, as  in probit, all observations are coded as 0/1.

As I understand the Tobit, one can compute the probablity of not being
censored as normal(xb / sigma), where normal() is the CDF of the
standard normal distribution, xb is the linear predictor for the first
equation and sigma the constant in the second equation. This is very
similar to a probit, in which the probability is normal(xb). If the
dependent variable in the probit is 1=not censored, 0=censored and the
xs are the same, than the coefficients/sigma in the Tobit should be
the same as the coeficients in the probit.

We usually don't look at this way, as we are usually less interested
in the probability of being censored, but that does not make this
wrong.

-- Maarten

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

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