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Re: st: heteroskedasticity correction with xttobit
From
Austin Nichols <[email protected]>
To
[email protected]
Subject
Re: st: heteroskedasticity correction with xttobit
Date
Thu, 17 May 2012 09:47:14 -0400
David Youngberg <[email protected]>:
vce(boot) does not "correct" for heteroskedasticity since
xttobit assumes i.i.d. normal errors independent of normal random effects.
I.e. you are working with untenable assumptions, in all likelihood.
What is the outcome variable and what is the explanatory variable of interest?
What kind of censoring is involved?
Often there are preferable alternatives to tobit models.
On Thu, May 17, 2012 at 9:10 AM, David Youngberg
<[email protected]> wrote:
> Dear Statalisters,
>
> I'm running Stata 10 and need to run xttobit with a heteroskedasticity
> correction. Robust isn't an option. I've tried running vce(boot) but
> it's taking too long (after 36 hours, Stata wasn't done with the first
> rep). I'm running about 150,000 observations, have 4 GB RAM, and
> processor's 2.8 GHz.
>
> Looking for alternative methods of correction with xttobit or if
> upgrading Stata/computer would make the difference.
>
> Thanks,
> David
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