Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Maarten Buis <[email protected]> |

To |
[email protected] |

Subject |
Re: Re: st: Formally comparing Tobit and Probit estimates |

Date |
Wed, 22 Jan 2014 15:43:17 +0100 |

On Wed, Jan 22, 2014 at 3:02 PM, Christopher Baum <[email protected]> wrote: > The reason why it doesn't make much sense to compare the -probit- and -tobit- coefficients is that for probit, the latent > variable is unobserved for all observations, whereas for tobit, the latent variable is only latent for the censored observations. > Thus the information going into the estimation differs, as in probit, all observations are coded as 0/1. As I understand the Tobit, one can compute the probablity of not being censored as normal(xb / sigma), where normal() is the CDF of the standard normal distribution, xb is the linear predictor for the first equation and sigma the constant in the second equation. This is very similar to a probit, in which the probability is normal(xb). If the dependent variable in the probit is 1=not censored, 0=censored and the xs are the same, than the coefficients/sigma in the Tobit should be the same as the coeficients in the probit. We usually don't look at this way, as we are usually less interested in the probability of being censored, but that does not make this wrong. -- 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/

**Follow-Ups**:**Re: st: Formally comparing Tobit and Probit estimates***From:*Alfonso Sanchez-Penalver <[email protected]>

**References**:**Re: Re: st: Formally comparing Tobit and Probit estimates***From:*Christopher Baum <[email protected]>

- Prev by Date:
**Re: Re: st: Formally comparing Tobit and Probit estimates** - Next by Date:
**Re: st: Formally comparing Tobit and Probit estimates** - Previous by thread:
**Re: Re: st: Formally comparing Tobit and Probit estimates** - Next by thread:
**Re: st: Formally comparing Tobit and Probit estimates** - Index(es):