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From | Leandro Brufman <leandrobrufman@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: intreg cluster vs tobit cluster (one reports some missing std errors, the other doesn't) |
Date | Thu, 4 Nov 2010 20:18:02 -0400 |
Hi everyone! I was running a Tobit model with clustered errors using -intreg varlist, clustered(clustervar)- as detailed in here (http://www.stata.com/support/faqs/stat/tobit.html). Sometimes the standard errors of a couple of coefficients appeared as missing. After reading a lot of useful things here in Statalist I couldn't find the problem behind those results (for example, I never had 1 observation per cluster, which was pointed out as a possible problem by Mark Schaefer, I fixed a scale problem in one variable that was driving a couple of missing std errors, but not all of them, etc.). Just by chance I found one article of Woolridge (2006) (https://www.msu.edu/~ec/faculty/wooldridge/current%20research/clus1aea.pdf) At the end it says that you can run tobit with clustered errors by typing -tobit varlist, ll(0) cluster(clustervar)- I was just curious about that (I thought that tobit didn't allow cluster option). I run it and guess what.... the missing std errors dissapeared! Below you'll see the results. Any ideas of why is this happening???? *********** BEGIN EXAMPLE ************************** . intreg amt_mt2 amt_mt3 ip_vsam_ipolate_w cridum ccc*, cluster(cricode) Fitting constant-only model: Iteration 0: log pseudolikelihood = -8848.0525 Iteration 1: log pseudolikelihood = -1547.301 Iteration 2: log pseudolikelihood = -1425.1908 Iteration 3: log pseudolikelihood = -1407.5083 Iteration 4: log pseudolikelihood = -1407.1085 Iteration 5: log pseudolikelihood = -1407.1083 Iteration 6: log pseudolikelihood = -1407.1083 Fitting full model: Iteration 0: log pseudolikelihood = -8834.4116 Iteration 1: log pseudolikelihood = -1526.3341 Iteration 2: log pseudolikelihood = -1366.9358 Iteration 3: log pseudolikelihood = -1332.2446 Iteration 4: log pseudolikelihood = -1331.6778 Iteration 5: log pseudolikelihood = -1331.6745 Iteration 6: log pseudolikelihood = -1331.6745 Interval regression Number of obs = 6757 Wald chi2(11) = 996.00 Log pseudolikelihood = -1331.6745 Prob > chi2 = 0.0000 (Std. Err. adjusted for 21 clusters in cricode) ------------------------------------------------------------------------------ | Robust | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- ip_vsam_ip~w | -.0263045 . . . . . cridum | -156.2131 50.9088 -3.07 0.002 -255.9925 -56.43371 ccc1 | 219.9064 70.44264 3.12 0.002 81.84139 357.9715 ccc2 | 442.6939 147.2167 3.01 0.003 154.1545 731.2333 ccc3 | 97.37137 32.76476 2.97 0.003 33.15362 161.5891 ccc4 | 555.3243 185.262 3.00 0.003 192.2175 918.4311 ccc5 | 421.7124 142.3647 2.96 0.003 142.6827 700.7422 ccc6 | 269.146 87.67189 3.07 0.002 97.31224 440.9797 ccc8 | 96.5494 37.97573 2.54 0.011 22.11834 170.9804 ccc9 | 36.67169 13.64486 2.69 0.007 9.928247 63.41513 ccc10 | 179.9544 60.99526 2.95 0.003 60.40586 299.5029 ccc11 | 58.70021 28.58481 2.05 0.040 2.67502 114.7254 _cons | -300.8123 94.71781 -3.18 0.001 -486.4558 -115.1688 -------------+---------------------------------------------------------------- /lnsigma | 4.989588 .3018269 16.53 0.000 4.398018 5.581157 -------------+---------------------------------------------------------------- sigma | 146.8758 44.33108 81.28957 265.3786 ------------------------------------------------------------------------------ Observation summary: 6613 left-censored observations 144 uncensored observations 0 right-censored observations 0 interval observations . tobit amt_mt3 ip_vsam_ipolate_w cridum ccc*, ll(0) cluster(cricode) note: ccc7 dropped because of collinearity Tobit regression Number of obs = 6757 F( 12, 6745) = 287.30 Prob > F = 0.0000 Log pseudolikelihood = -1331.6745 Pseudo R2 = 0.0536 (Std. Err. adjusted for 21 clusters in cricode) ------------------------------------------------------------------------------ | Robust amt_mt3 | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- ip_vsam_ip~w | -.0263045 .0088692 -2.97 0.003 -.043691 -.008918 cridum | -156.2131 50.9064 -3.07 0.002 -256.0057 -56.42051 ccc1 | 219.9064 70.44073 3.12 0.002 81.82035 357.9925 ccc2 | 442.6939 147.2129 3.01 0.003 154.1102 731.2777 ccc3 | 97.37137 32.76389 2.97 0.003 33.1438 161.5989 ccc4 | 555.3243 185.2573 3.00 0.003 192.1616 918.487 ccc5 | 421.7124 142.3617 2.96 0.003 142.6385 700.7864 ccc6 | 269.146 87.66958 3.07 0.002 97.28593 441.006 ccc8 | 96.5494 37.97516 2.54 0.011 22.10609 170.9927 ccc9 | 36.67169 13.64448 2.69 0.007 9.924197 63.41918 ccc10 | 179.9544 60.99367 2.95 0.003 60.38752 299.5212 ccc11 | 58.70021 28.58445 2.05 0.040 2.665667 114.7348 _cons | -300.8123 94.71551 -3.18 0.002 -486.4846 -115.14 -------------+---------------------------------------------------------------- /sigma | 146.8758 44.33002 59.97501 233.7767 ------------------------------------------------------------------------------ Obs. summary: 6613 left-censored observations at amt_mt3<=0 144 uncensored observations 0 right-censored observations . compare amt_mt2 amt_mt3 // just to show you that the vars are ok, amt_mt2 is missing whenever amt_mt3==0, and both are equal otherwise. ---------- difference ---------- count minimum average maximum ------------------------------------------------------------------------ amt_mt2=amt_mt3 152 ---------- jointly defined 152 0 0 0 amt_mt2 missing only 6639 ---------- total 6791 . *************** END EXAMPLE ******************************** * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/