Statalist


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

st: RE: RE: panel tobit with fixed effects


From   "Rodrigo Alfaro A." <[email protected]>
To   <[email protected]>
Subject   st: RE: RE: panel tobit with fixed effects
Date   Tue, 13 May 2008 10:40:33 -0400

Mark and Marcello, 

My understanding is: you are able to run nonlinear models with
fixed-effects, but additional corrections are necessary for the bias
(see also Austin Nichols post or type help xttobit). 

Some references can be found at
http://www.cemfi.es/~arellano/Nonlinear_Panel_Data.htm, and a seminar on
the topic is comming too
http://www.cemfi.es/studies/ssef/courses.asp?lang=en#panel

In particular, Hahn, J. and W.K. Newey (2004): "Jackknife and Analytical
Bias Reduction for Nonlinear Panel Models", Econometrica, 72, 1295-1319
is a good example that not particular nonlinear function is required.
However, one needs conditions over the size of the panel (T: time
periods and n: cross sectional units). 

In Hahn-Newey's paper the panel is balanced and sample counterpart of
the required condition is easy to check, but if you have unbalanced
panel, the problem is more complex. My suggestion for this point is to
consider the T-size of the panel as the harmonic average of T_i, this is
based on the fact that panels are short in T but long in n.

It would be nice to have Stata code to implement Hahn and Newey analytic
bias-reduction. I think that Matlab or Gauss codes are available for
such cases. Given that Mata could deal with this in a couple of lines. 

Rodrigo.


 

-----Mensaje original-----
De: [email protected]
[mailto:[email protected]] En nombre de Schaffer,
Mark E
Enviado el: Martes, 13 de Mayo de 2008 09:21 a.m.
Para: [email protected]
Asunto: st: RE: panel tobit with fixed effects

Marcello,

> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Sartarelli,

> Marcello
> Sent: Tuesday, May 13, 2008 1:12 AM
> To: [email protected]
> Subject: st: panel tobit with fixed effects
> 
> dear statalist,
>  
> i have a problem estimating the following panel tobit with a doubly 
> censored dependent variable y and, time-varying regressors and 
> individual fixed effects i.id where id is the individual id variable:
>  
> xi : tobit y age tenure fsize reg2 reg3 decade2 decade3  i.id if 
> gender==0, ll(0) ul(1)

Will this yield a consistent estimator?  Probits with fixed effects
entered as dummies usually aren't, so I would be doubtful about a tobit.
See e.g.

http://www.stata.com/statalist/archive/2003-09/msg00103.html

Cheers,
Mark

> the panel dimension is 16000 individuals observed over 20 years but 
> with attrition.
>  
> if i estimate it on a standard pc, it runs out of memory for creating 
> variable although maxvar is set to 32600.
> a super computer is insted taking days.
>  
> suggestions are very welcome.
>  
> if it is eventually not possible to estimate the model above in stata,

> i'll try gauss using http://www.princeton.edu/~honore/pantob/
> <http://www.princeton.edu/~honore/pantob/>
>  
> thanks, m
> 
> *
> *   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/
> 


--
Heriot-Watt University is a Scottish charity registered under charity
number SC000278.


*
*   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/

********************************************************************************
ADVERTENCIA: La  informaci�n  contenida  en  esta  transmisi�n, y  en  cualquier archivo  adjunto, est�  sujeta a reserva legal conforme a la normativa aplicable  al  Banco  Central  de  Chile, y  no  puede  ser usada o difundida  por personas distintas  de  su o sus destinatarios. Si usted ha recibido esta transmisi�n por error,  por  favor  notifique  inmediatamente al remitente respondiendo por este mismo medio y elim�nela de su sistema.
El  Banco Central de Chile no se har� responsable de la exactitud y veracidad de la informaci�n contenida en este mensaje, as�  como  de su  modificaci�n, copia, divulgaci�n  o  reenv�o,  total  o  parcial.   Su  uso  no  autorizado puede ser sancionado de conformidad con las leyes chilenas. 
El  Banco  Central  de  Chile  transmite  sus decisiones a trav�s de comunicados oficiales, los  que  pone  a  disposici�n  del p�blico en su p�gina de Internet: www.bcentral.cl 


DISCLAIMER: The information  contained  in  this  email or any attached file, is subject to legal  privilege  pursuant  to the laws and regulations applicable to the Central  Bank  of  Chile , and may not be used or disseminated by any person other  than  its  intended recipients. If you have received this transmission in error, please  notify  the sender immediately by reply to this email address and delete it from your system.
The Central Bank  of  Chile shall not be liable for the accuracy or authenticity of the contents of this message, whether amended, copied, forwarded or disclosed in  any  form, in  whole  or  in part.  Please note that unauthorized use may be penalized  in  conformity  with  the  Chilean law.    
The Central  Bank of Chile communicates its decisions by  official releases, and 
makes them available to the public in its WebPages: www.bcentral.cl

*
*   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 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index