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Re: st: Manual calculation of scale factors after tobit and/or truncreg [econometrics help]

From   Clara Mukuria <>
Subject   Re: st: Manual calculation of scale factors after tobit and/or truncreg [econometrics help]
Date   Fri, 12 Oct 2012 15:15:17 +0100

Thanks Marteen. I can retrieve these values from STATA but stored estimates are for the linear prediction and I am not sure how to apply sigma in order to generate the equivalent of predict y, ystar (ll, ul). It's not a constant effect on the estimates so can't just be subtracted. I've seen several formulas on the net - most of which are to generate marginal effects - and all of which produce different values. I know Stata will do out-of-sample calculations but as I said, the people who will be using these values will not be using Stata.

Maarten Buis said the following on 12/10/2012 12:55:
On Fri, Oct 12, 2012 at 12:36 PM, Clara Mukuria  wrote:
Thanks Marteen. Its not the SE of the estimate I am after. Rather, its how
to adjust the linear predictions from Tobit/truncreg to the expexted values
conditional on either censoring (for Tobit) or truncation (for Truncreg).
STATA does this automatically for you but I need to work out how to do it
manually as the out of sample estimation  will not be done in STATA - nor
will those doing these estimations have access to the original dataset.

Seems to me you are still looking for [sigma]_b[_cons]. Anyhow, Stata
(note: not STATA) will do out of sample estimation. You can save the
model without the data using -estimates save-. Others can open their
own dataset and than use -estimates use- to open your model, and than
they can use -predict- or whatever other post-estimation command they

Hope this helps,

Maarten L. Buis
Reichpietschufer 50
10785 Berlin
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