It is my understanding that SUR models give no advantage (in terms of
smaller standard errors) over single equation models if the independent
variables are the same across all equations. I believe this is true for
the OLS version of SUR, but as I have never read about your interest--a
SUR tobit model--I am not sure the same logic applies. If it *does*
apply, you are freed to estimate single equation tobits.
Hope this helps.
Sam
On Tue, 9 Dec 2003, Mark Hanly wrote:
> Hi John,
>
> Thank you for your reply.
>
> My feeling is that we cannot apply OLS in this case because we are looking
> at the share of total distance a person travels on a particular day by, for
> example, car. Many people not travel by car at all on a particular day so
> their dependent variable will be zero, whereas many others will travel
> exclusively by car on that day so their share of total distance travelled
> that day that is done by car is one. (And the same will be true for the
> other mode shares - transit and walking.)
>
> The general advice seems to be that we would have to model this using a
> tobit model with 2 cluster points (at zero and one) if we model each
> equation separately because OLS, it is said, will give a poor fit and could
> introduce bias.
>
> Because the independent variables are the same for each dependent variable,
> I would think that the error terms of each of the separate equations would
> be related somehow. Or, at least, this should be checked for/accounted for
> using some kind of SUR and the results compared with the three separate
> estimations.
>
> However, I am open to all advice on this.
>
> Regards,
> Mark
>
> At 10:21 09/12/2003 -0500, you wrote:
> >Hi,
> >
> >If the independent variables are the same, the OLS and SURE estimators are
> >equivalent. So, there is no gain in applying this estimator.
> >
> >John Kane
> >Dept. of Economics
> >SUNY-Oswego
>
> Mark Hanly
> Research Fellow
>
> ESRC Transport Studies Unit
> University College London
> London WC1E 6BT
> tel +44 (0)20 7679 1584
> fax +44 (0)20 7679 1567
>
> www.cts.ucl.ac.uk
> www.cts.ucl.ac.uk/seminars
>
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