Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

RE: st: Censored ... Heteroskedastic regression


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: Censored ... Heteroskedastic regression
Date   Fri, 21 Dec 2007 15:14:36 +0000 (GMT)

--- Fabrice <fabrice@cavarretta.com> wrote:
> I have to think about it and test it (I'm still not fully at ease
> with those likelihood estimation method).

Two comments that might help:

1) estimation I used equations on p. 204-205 of (Long 1997)

2) When checking checking this piece of software my first port of call
would be a comparison of this model without covariates in the lnsigma
equation with -tobit-. The two should be the same, except that I
maximize with respect to ln(sigma) and -tobit- with respect to sigma.
My choice ensures that the standard deviations is always positive (as
it must be). 

-- Maarten

J. Scott Long (1997) "Regression Models for Categorical and Limited
Dependent Variables", Thousand Oaks: Sage.


-----------------------------------------
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/
-----------------------------------------


      ___________________________________________________________
Yahoo! Answers - Got a question? Someone out there knows the answer. Try it
now.
http://uk.answers.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/



© Copyright 1996–2021 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index