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From |
Arne Risa Hole <arnehole@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Sun, 14 Oct 2012 16:29:14 +0100 |

Hi Clara, Here’s an example of how you can generate the equivalent of predict y, ystar (ll, ul) “by hand”: sysuse auto, clear generate wgt=weight/100 tobit mpg wgt, ll(17) ul(24) predict y1, ystar(17, 24) predict xb, xb gen a = (17-xb)/[sigma]_b[_cons] gen b = (24-xb)/[sigma]_b[_cons] gen y2 = 17*normal(a) + 24*(1-normal(b)) + (normal(b)-normal(a))*xb + [sigma]_b[_cons]*(normalden(a)-normalden(b)) As you can see y1 and y2 are identical (except for rounding differences). See Maddala (1983), p. 161, or Cong (2000) for the relevant formulas. I hope this helps. Arne References Cong, R. 2000. sg144: Marginal effects of the tobit model. Stata Technical Bulletin 56: 27–34. Reprinted in Stata Technical Bulletin Reprints, vol. 10, pp. 189–197. College Station, TX: Stata Press. Available at http://www.stata.com/products/stb/journals/stb56.pdf. Maddala, G.S. 1983. Limited Dependent and Qualitative Variables in Econometrics, Cambridge. On 12 October 2012 15:15, Clara Mukuria <C.Mukuria@sheffield.ac.uk> wrote: > 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 >> want. >> >> Hope this helps, >> Maarten >> >> --------------------------------- >> Maarten L. Buis >> WZB >> Reichpietschufer 50 >> 10785 Berlin >> Germany >> >> http://www.maartenbuis.nl >> --------------------------------- >> * >> * 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/ * * 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/

**References**:**st: Manual calculation of scale factors after tobit and/or truncreg [econometrics help]***From:*Clara Mukuria <C.Mukuria@sheffield.ac.uk>

**Re: st: Manual calculation of scale factors after tobit and/or truncreg [econometrics help]***From:*Maarten Buis <maartenlbuis@gmail.com>

**Re: st: Manual calculation of scale factors after tobit and/or truncreg [econometrics help]***From:*Clara Mukuria <C.Mukuria@sheffield.ac.uk>

**Re: st: Manual calculation of scale factors after tobit and/or truncreg [econometrics help]***From:*Maarten Buis <maartenlbuis@gmail.com>

**Re: st: Manual calculation of scale factors after tobit and/or truncreg [econometrics help]***From:*Clara Mukuria <C.Mukuria@sheffield.ac.uk>

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