A standard tobit fixed effect model is inconsistent for the same reasons
that are probit/logit fixed effects models. The fixed effects cannot be
treated as incidental parameters in non-linear models without biasing the
other model coefficients (as long as N > T). Bo Honore (econ professor at
Princeton) has written a paper and provides Gauss code for estimating a
tobit fixed effect model taking a similar approach to the Chamberlain
conditional fixed effect logit estimator which exists in Stata (clogit). I
gather that is should not be too difficult to rewrite this program as a
Stata program if desired, but that is just an educated guess.
Steve
> -----Original Message-----
> From: david reinstein [SMTP:[email protected]]
> Sent: Monday, July 28, 2003 6:06 AM
> To: [email protected]
> Subject: st: xttobit with fixed effect???
>
> Is there any command to do this -- a tobit
> (censored/corner solution) model on panel data , or is
> the only way to do this to demean all of the variables
> and then run (regular) Tobit?
> Maybe someone wrote an extension to xttobit?
>
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