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Re: st: Standardized tobit coefficients

From   Richard Williams <[email protected]>
To   [email protected], <[email protected]>
Subject   Re: st: Standardized tobit coefficients
Date   Wed, 01 Oct 2008 22:34:25 -0500

At 08:32 PM 10/1/2008, SEVIGNY, ERIC wrote:
Dear Stata Users:

I am trying to obtain standardized tobit coefficients per Long (1997).
Initially, I calculated the standardized tobit coefficients after
estimation per Roncek (1992) as follows:

foreach var of varlist x1 x2 x3 etc. {
      quietly sum `var'
      display as result "beta* `var' =" (_b[`var']*r(sd))/.5697083)

where .5697083 is sigma reported by the tobit model.

Long (1997) criticized this approach because sigma is conditional on x.
He suggests instead to use the unconditional variance of y* computed
with the quadratic form, where r_(y*)^2=B'Var(x)B+s_e^2 (which I read as
the unconditional variance of Y* equals the variance/covariance matrix
of x plus an error term). Unfortunately, I am having difficulty with
transferring this formula into Stata. I am unfamiliar with using and
accessing matrix information, and hope someone on the list could offer
some help.

Thanks in advance.

Eric L. Sevigny
You can probably use Long & Freese's -listcoef- command with the -std- option. From within Stata, type

findit spost9

Long & Freese's excellent book describing this and several other commands can be found at

Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
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