Dear Alejandro,
I am using a Gauss programme written by Bo Honore called Pantob, which can be downloaded from Honore's website.
http://www.princeton.edu/%7Ehonore/programs/
There is a user guide and a reference to Honore's article on which Pantob is based.
It's a very interesting estimator that Honore devised. But it is quite difficult to use it!
Thanks for your quick and kind reply.
Thi Minh
-----Original Message-----
From: Alejandro Lopez-Feldman [mailto:[email protected]]
Sent: 13 December 2004 20:17
To: Ngo,PT (pgr)
Subject: Re: TOBIT Fixed effects - choosing a reference category
Dear Thi Minh,
I don't have an answer to your question (what you are finding might have to
do with the semiparametric specification used, I have heard of weird changes
in results when using semiparametric methods, but that is all that I know).
What I wanted to ask you is how are you estimating the Tobit Fixed Effect in
Stata? Are you using something like an xt version of Clad? Any help will be
appreciated.
Thanks,
Alejandro
----- Original Message -----
From: "Ngo,PT (pgr)" <[email protected]>
To: <[email protected]>
Sent: Monday, December 13, 2004 11:57 AM
Subject: st: TOBIT Fixed effects - choosing a reference category
> Dear Statalisters,
>
> This may be a bit too un-stata-related for the statalist, but please, let
me give it a try.
>
> I am using a model which has elicited some interest from several people
from the list recently: the semiparametric Tobit Fixed Effect model by Bo
Honore ("Trimmed LAD and Least Squares Estimation of Truncated and Censored
Regression Models with Fixed Effects." Econometrica, May, 1992, Vol. 60, No
3, pp. 533-565.)
>
> I am using a two-year panel data set and in the final specification, I
want to control for _time-variant_ regional effects by introducing a set of
regional dummies interacted by a time dummy for year 2. Of course, one of
the dummies is dropped.
>
> In a linear setting, changing the reference category only affects the
constant term and the coefficients on the regional dummies, but leaves the
remaining coefficients unchanged. I am very puzzled by the following
results: in Tobit FE, when I choose a different reference category, the
coefficients on the other (non regional) variables change as well.
>
> That is: using TOBIT FIXED EFFECTS (and say, there are three regions)
> Y=a0+ a1X1 +a2X2 + ... + region2*T2 + region3*T2 --> dropping region 1
> Y=a0+ a1X1 +a2X2 + ... + region1*T2 + region3*T2 --> dropping region 2
>
> and the coefficients a2 changes a lot between the two specifications.
>
> Would anyone have a sense of what is happening here? I am contacting
people from my university to clarify this matter, but it looks like it is
quite specialised and I would greatly appreciate any help from the list.
>
> Many thanks to all of you for making the statalist such a helpful
community, and my very best wishes for the New Year.
>
> Thi Minh
>
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