Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Cameron McIntosh <[email protected]> |

To |
STATA LIST <[email protected]> |

Subject |
RE: st: Censored Least Absolute Deviation and Probit |

Date |
Sun, 4 Mar 2012 17:54:04 -0500 |

Reshmi, Well, I thought I did help. Theoretically, it should be reasonable to estimate that 2-equation model with the link functions you describe, but I am not sure if -cmp- can invoke the CLAD estimator for a tobit model, so I would encourage you to check on that. The author of -cmp- is on the list, so he may chime in on that point. I might also suggest that you have a look at: Li, L., Simonoff, J.S., & Tsai, C.-L. (2007). Tobit model estimation and sliced inverse regression. Statistical Modelling, 7(2), 107-123. Holden, D. (2011). Testing for heteroskedasticity in the tobit and probit models. Journal of Applied Statistics, 38(4), 735-744. Newey, W.K. (1987). Specification tests for distributional assumptions in the Tobit model. Journal of Econometrics, 34(1-2), 125-145. Wilhelm, M.O. (2008). Practical Considerations for Choosing Between Tobit and SCLS or CLAD Estimators for Censored Regression Models with an Application to Charitable Giving. Oxford Bulletin of Economics and Statistics, 70(4), 559-582. Reynolds, A., & Shonkwiler, J.S. (1991). Testing and correcting for distributional misspecifications in the Tobit model: An application of the Information Matrix test. Empirical Economics, 16(3), 313-323. Holloway, G., Nicholson, C., Delgado, C., Staal, S., & Ehui, S. (2004). A revised Tobit procedure for mitigating bias in the presence of non-zero censoring with an application to milk-market participation in the Ethiopian highlands. Agricultural Economics, 31(1), 97–106. Carson, R.T., & Sun, Y. (2007). The Tobit model with a non-zero threshold. Econometrics Journal, 10, 488–502.http://econ.ucsd.edu/~rcarson/papers/TobitEJ07.pdf Barros, M., Galea, M., González, M., & Leiva, V. (2010). Influence diagnostics in the tobit censored response model. Statistical Methods & Applications, 19(3), 379-397.http://staff.deuv.cl/leiva/archivos/leiva_art/barros_galea_gonzalez_leiva_2010.pdf Sullivan, C.J., McGloin, J.-M., & Piquero, A.R. (2008). Modeling the Deviant Y in Criminology: An Examination of the Assumptions of Censored Normal Regression and Potential Alternatives. Journal of Quantitative Criminology, 24(4), 399-421. Cam ---------------------------------------- > Date: Sun, 4 Mar 2012 16:29:14 -0600 > Subject: Re: st: Censored Least Absolute Deviation and Probit > From: [email protected] > To: [email protected] > > Hello Cameron, > > Thank you so much for your reply. Actually, I want to relax the > distributional assumptions in estimating my Eq( 2 ) (the censored > Tobit type model), because, I have non-normality in errors (which I > checked using -tobcm- in STATA after a tobit estimation), and > therefore, I was contemplating of using CLAD. > > However, I do not know the code for any other semi or non-parametric > estimation for the binary response model that can estimate Eq(1), > except for Manski's Maximum Score estimator. But because of large N > (around 13000 observations), I cannot use this estimation, and instead > trying to estimate it using a Probit ML (normality of errors is > satisfied using Probit ML). > > Since, CLAD satisfies asymptotic normality of the distribution of the > error term, so I was wondering whether estimating the equations using > CLAD and Probit simultaneously, would be a reasonable and > statistically correct choice. > > Please help. > > Thank you. > > Regards, > > RSG > > On Sun, Mar 4, 2012 at 3:34 PM, Cameron McIntosh <[email protected]> wrote: > > Hi, > > > > I think -cmp- would be your best bet. It does allow for simultaneous equations with a mix of link functions for accommodating a variety of particular response variable types: > > > > Roodman, D. (2011). Fitting fully observed recursive mixed-process models with cmp. The Stata Journal, 11(2), 159-206.http://www.stata-journal.com/article.html?article=st0224http://ideas.repec.org/c/boc/bocode/s456882.html > > > > Cam > >> Date: Sun, 4 Mar 2012 10:58:15 -0600 > >> Subject: st: Censored Least Absolute Deviation and Probit > >> From: [email protected] > >> To: [email protected] > >> > >> Dear Friends, > >> > >> I need your help on the following question: > >> > >> Can I estimate a CLAD (Censored Least Absolute Deviation) and a Probit > >> model simultaneously? > >> > >> I have the following 2 equations: > >> > >> (1) Y1*=a0 + a1*Y2* + a2*X1 + e1 > >> > >> where Y1=1 if Y1*>0 > >> and Y1=0 if otherwise > >> > >> (2) Y2*=b0 + b1*Y1*+ b2*X2+e2 > >> > >> where Y2=Y2* if Y2*>0 > >> and Y2=0 if otherwise > >> > >> I am trying to estimate equation (1) using Probit Maximum Likelihood > >> (ML) and equation (2) using CLAD. > >> > >> Please let me know. > >> > >> I will sincerely appreciate any help. > >> > >> Best Regards, > >> > >> R. Sengupta > >> * > >> * 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/ > > > > * > > * 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/ > > * > * 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/ * * 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/

**Follow-Ups**:**Re: st: Censored Least Absolute Deviation and Probit***From:*Reshmi Sengupta <[email protected]>

**References**:**st: Censored Least Absolute Deviation and Probit***From:*Reshmi Sengupta <[email protected]>

**RE: st: Censored Least Absolute Deviation and Probit***From:*Cameron McIntosh <[email protected]>

**Re: st: Censored Least Absolute Deviation and Probit***From:*Reshmi Sengupta <[email protected]>

- Prev by Date:
**Re: st: Implementing a Momentum Investment Strategy with Stata** - Next by Date:
**Re: st: Censored Least Absolute Deviation and Probit** - Previous by thread:
**Re: st: Censored Least Absolute Deviation and Probit** - Next by thread:
**Re: st: Censored Least Absolute Deviation and Probit** - Index(es):