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From |
"Alba J. Collart-Dinarte" <[email protected]> |

To |
"[email protected]" <[email protected]> |

Subject |
st: MLE for Tobit I |

Date |
Fri, 30 Sep 2011 22:19:22 +0000 |

Dear Stata listers, I have an inquiry about programming the likelihood function for Tobit models (type I, censored at zero) in STATA 10.1. This is the code I've written: program mytobit1 version 10.1 args lnf beta sigma quietly replace `lnf'= log(1-normal(`beta'/`sigma')) if $ML_y1==0 quietly replace `lnf'= log((1/`sigma')*normalden(($ML_y1-`beta')/`sigma')) if $ML_y1>0 end ml model lf mytobit1 (y1 = x) /sigma ml check ml maximize, nolog but it does not run. I believe that there is a problem in the way I define the likelihood function and in "$ML_y1>0". I have looked into Gould, Pitblado and Poi (2010), but they mainly discuss probit, normal and weibull models. I have also tried: quietly replace `lnf'= cond($ML_y1==0,log(1-normal(`beta',`sigma')),log((1/`sigma')*normalden($ML_y1,`beta',`sigma'))) and using normalden($ML_y1,`beta',`sigma') - instead of - normalden(($ML_y1-`beta')/`sigma') but no success. Any suggestions on how can I fix the code would be greatly appreciated. Thank you very much in advance, Alba Collart * * 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/

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