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From |
Maarten buis <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Censored ... Heteroskedastic regression |

Date |
Fri, 21 Dec 2007 11:30:49 +0000 (GMT) |

--- Fabrice <[email protected]> wrote: > I am trying to estimate an effect on variability of a dependent > variable that happens to be censored. > > Normally, without censoring, I use a simple Maximum Likelihood > Estimation, modeling in Stata the residual as I see fit. For > instance, I can parameterize a simple linear effect both on mean and > variance by: > ml model lf mynormal1_lf (mu: Y=X) (sigma: X) > > For censoring, if I were to just seek the main effect, I would use a > normal tobit. > > QUESTION: would anyone have a suggestion how to estimate (in Stata!) > effect on dependent variable variance in the case of censored DV? > > Obviously, I could write my own likelihood function, but do not feel > confident enough to do so yet (and maybe that is already done > somewhere). Below is a quick stab at a heteroskedastic tobit: the global tau is the value at which the dependent variable is censored. *-------------- begin example ------------------- set more off sysuse nlsw88, clear gen lnw = ln(wage) capture program drop hettobit_lf program define hettobit_lf version 9.2 args lnf mu lnsigma quietly { replace `lnf' = /// lnnormalden($ML_y1,`mu',exp(`lnsigma')) /// if $ML_y1 > $tau replace `lnf' = /// lnnormal(($tau -`mu')/exp(`lnsigma')) /// if $ML_y <= $tau } end global tau = 1.4 ml model lf hettobit_lf /// (mu: lnw=grade ttl_exp union) /// (lnsigma: union) ml check ml search ml maximize *--------------- end example ------------------------- (For more on how to use examples I sent to the Statalist, see http://home.fsw.vu.nl/m.buis/stata/exampleFAQ.html ) Hope this helps, Maarten ----------------------------------------- Maarten L. Buis Department of Social Research Methodology Vrije Universiteit Amsterdam Boelelaan 1081 1081 HV Amsterdam The Netherlands visiting address: Buitenveldertselaan 3 (Metropolitan), room Z434 +31 20 5986715 http://home.fsw.vu.nl/m.buis/ ----------------------------------------- __________________________________________________________ Sent from Yahoo! Mail - a smarter inbox http://uk.mail.yahoo.com * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Censored ... Heteroskedastic regression***From:*"Fabrice" <[email protected]>

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