Tobit models are generally inconsistent with non-normal errors (Greene 5ed, page 771). Using a variance estimate robust to non-normality will not solve this problem. Perhaps this is the reason that it has not been implemented.
-Tim
-----Original Message-----
From: Nick Cox [mailto:[email protected]]
Sent: Sunday, December 05, 2004 11:38 AM
To: [email protected]
Subject: st: RE: PANEL TOBIT
Third posting of this question. Please
see the injunction to restrict yourself
to _at most one repeat posting_ at
http://www.stata.com/support/faqs/res/statalist.html#noanswer
As far as I can judge, this hasn't been implemented.
Nick
[email protected]
naceur khraief
> I want to estimate a PANEL Tobit models with Robust Maximum
> Likelihhod
> estimator. Do you Have an idea about the stata command
> associate to the
> maximum likelihood robust standard errors. Because these
> standards errors
> are Huber-White estimates and are robust to the
> problem of non-normality and heteroscedasticity in residual variance.
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