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st: Formally comparing Tobit and Probit estimates
From
Radha Shah <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Formally comparing Tobit and Probit estimates
Date
Tue, 21 Jan 2014 17:11:00 +0000
Dear Statalist,
I am using Stata version 12 for Windows. My question concerns formally comparing the coefficients on a Probit and Tobit model.
For the Tobit model I run the following,
tobit y_tobit x1_tobit x2_tobit x3_tobit, ll(0)
where y is either 0 or a positive value.
For the probit model I run the following,
probit y_probit x1_probit x2_probit x3_probit
where y_probit is 0 if y_tobit == 0 and is equal to 1 if y_tobit>0.
Can anyone help me with the coding in Stata to conduct a statisitical test to test the hypothesis (for example): x1_tobit = x1_probit.
I have seen that I can informally compare the estimates by looking for sign changes between them or visible differences in magnitude between (_b[x1_tobit]/_b[sigma]) and (_b[x1_probit]) but I was looking for something more statistically formal.
Many thanks,
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