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Re: st: xttobit

From   Sophia Rabe-Hesketh <[email protected]>
To   [email protected]
Subject   Re: st: xttobit
Date   Sun, 29 Feb 2004 21:26:24 -0800


I suggest first running xttobit and using
the estimates as starting values for gllamm.
For the example command you gave in your email,
the data manipulation and gllamm command would be:

xttobit zteq `vars', ll(0) ul(100) i(sys_id)

* create a new dependent variable equal to 1 if right-censored
* and 0 if left-censored:

gen y=cond(zteq>=100,1,cond(zteq<=0,0,zteq)) if zteq<.

* create offset variable equal to -100 if right-censored at
* 100, 0 otherwise:

gen off = cond(zteq>=100,-100,0)

* create var=2 for censored observations, 1 otherwise:

gen var=cond(zteq>=100|zteq<=0,2,1)

* get starting values from xttobit (last two elements, /sigma_u
* and /sigma_e need to be switched and need logarithm of /sigma_e:

matrix a=e(b)
local n=colsof(a)
matrix a[1,`n']=a[1,`n'-1]
matrix a[1,`n'-1]=ln(a[1,`n'])

gllamm y `vars', offset(off) i(sys_id) fam(gauss binom) link(ident sprobit)  /*
  */ lv(var) fv(var) from(a) copy adapt

The default number of quadrature points gllamm uses is 8
(which may be more accurate than 12 with ordinary quadrature).
You may have to increase this using nip(20), etc.
(perhaps do a kind of quadcheck manually).

Please let me know if you have any problems.

Best wishes,


Matt Dobra wrote:

In general, with the default 12 quadratures, most of my estimated betas have a relative difference of between 1-4%, and a few are estimated with a very high relative difference, sometimes over 50%. I presume that I am running into this problem because some of my independent variables are time-invariant within groups. .

Thanks for offering to help me with this. There are actually 30 regressions I want to run...10 different dependent variables, each with three different sets of independent variables, captured in a macro called `vars'. Any guidance you could give me in how to generally set up a random effects tobit using gllamm would be greatly appreciated.

The general form of all of the random effects tobits I want to run is:
xttobit zteq `vars', ll(0) ul(100) i(sys_id)

Each of the dependent variables has a name starting with the letter "z" (e.g. zteq, zdeq, zieq), so for simplicity, I could do the data manipulation within a loop like:

. foreach var of varlist z* {
. stuff
. }

Again, thanks for any help you can give me.


Sophia Rabe-Hesketh wrote:


If the estimates seem robust with 30 quadrature points,
why not use 30?

However, if you are not sure that the estimates are robust,
you could use adaptive quadrature which is implemented in
gllamm (see In situations where
ordinary quadrature performs poorly, adaptive quadrature tends
to be more reliable, see e.g.

Rabe-Hesketh, S., Skrondal, A. and Pickles, A. (2002).
Reliable estimation of generalised linear mixed models
using adaptive quadrature. The Stata Journal 2, 1-21.

However, estimating random effects tobit models in gllamm
is a bit involved. You have to treat the data as if you
had mixed responses and specify a linear model for the
non-censored responses and a scaled probit model for the
censored responses (with the same residual variance).
If you send me the xttobit command that you used,
I can send you the corresponding gllamm command
(and data manipulation steps).


Matthew L Dobra wrote:


Any advice you can give me would be appreciated. I have some data that
seems appropriate for xttobit analysis. My LHS variables are bounded
between 0 and 100 (percentages), and an unbalanced panel of approximately
300 i's and 4 t's. I used the quadchk command and found that my
estimates were quite sensitive to my choice of quadratures. I played
around with the quadrature option on xttobit, and found that only when I
increased the number of quadratures to about 30 did quadchk show that the
estimates were robust. So, I'm resigned to think that Stata's xttobit
command may not be the best option.

Moving on, I'm curious as to what I might do from here. Are there other
commands that might help me out? Has somebody written a version of
xttobit that uses a different method of approximation?


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Sophia Rabe-Hesketh, Professor
Educational Statistics
Graduate School of Education
3659 Tolman Hall
University of California, Berkeley
Berkeley, CA 94720-1670
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