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From | Ebru Ozturk <ebru_0512@hotmail.com> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | RE: st: Normally distributed error term & testing normality of |
Date | Sun, 14 Oct 2012 18:06:22 +0300 |
Thank you very much for your response. But, the issue is not for me whether to use -glm- or -tobit-. I want to learn how I can test Tobit specifications graphically. For instance, in linear regression they generate residuals and check it by -qnorm- or -pnorm- (qnorm e). Also, to check heteroscedasticity they make a graph of the residuals of the model against the predicted values. So, if the residuals will not be normal because of censoring, what should I look at? What should I use instead of residuals in Tobit? Ebru ---------------------------------------- > From: kit.baum@bc.edu > To: statalist@hsphsun2.harvard.edu > Subject: re: st: Normally distributed error term & testing normality of > Date: Sun, 14 Oct 2012 13:06:41 +0000 > > <> > Justina said > > Maybe this was already said, but there is also the command -hettest- > > That command, as -help hettest- will show, is deprecated in favor of -estat hettest- which accesses the same suite of tests. But > -help tobit postestimation- does not offer -estat hettest- as an option, for all of the good reasons that have been discussed earlier > in this thread. Unlike standard regression, normality of the error is a maintained hypothesis in the Tobit framework, as its > likelihood combines a probit and a regression. Per earlier postings, it would be much more sensible in many cases to use -glm- > for this sort of model. > > Along those lines, the command -linktest- allows you to consider whether the 'link' explicit or implicit in > the model you estimate is supported by the data. In my own work, I have found that after estimation of -tobit- and -glm- on the same sample > of data with a mass point at zero, -linktest- often clearly rejects the Tobit specification, and does not reject the -glm- form of the model. > That might be something for Ebru to consider, rather than fruitless enquiries about the appropriateness of tests designed for a linear regression context to the Tobit. > > Kit > > > Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html > An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html > An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/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/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/