--- On Thu, 16/4/09, Sachin Chintawar wrote:
> 1. Since I had generated 'ytrunc' as a truncated normal
> distribution, then to know the bias I cannot tell Stata
> to generate 'ytrunc' based on a equation such as
> y = b1 + b2*x + u
> where b1 and b2 are specified. But if I do this then y
> goes to having a normal distribution and not a truncated
> normal distribution.
>
> 2. Another problem is to develop a heteroskedastic error
> term.
*------------------- begin example ----------------------
global numobs 500 // sample size N
global numsims "1000" // number of simulations
set seed 678643594
capture program drop simtobit
program simtobit, rclass
version 10.1
drop _all
set obs $numobs
gen x = rnormal()
gen z = rnormal()
gen e = exp(1.5 + z)*rnormal()
gen mu = 5 + x + z
gen ystar = 5 + x +e
gen y = cond(ystar < 0, 0, ystar)
tobit y x z, ll(0)
return scalar b = _b[x]
tempname z
scalar `z' = abs((1-_b[x])/_se[x])
return scalar p = 2*normal(-`z')
end
simulate b=r(b) p=r(p) , ///
reps($numsims): simtobit
sum
hist p, name(p) // should be uniform distribution
hist b, xline(1) name(b)
*------------------ end example ----------------------
Hope this helps,
Maarten
-----------------------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
*
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