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RE: st: Censored ... Heteroskedastic regression

From   Maarten buis <[email protected]>
To   [email protected]
Subject   RE: st: Censored ... Heteroskedastic regression
Date   Fri, 21 Dec 2007 15:14:36 +0000 (GMT)

--- Fabrice <[email protected]> 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

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