Hello Satatlist,
I'm estimating a Two Stage Tobit model manually, because I have
censored variables (at zero) for the first and second stage of the
estimation. I know that when I do this the standar errors are not
valid, but I don't know if it is fine to correct them by the same way
I should do it when is a Two Stage Least Squares manually estimation.
This is the model I have: y1=a+bX1+ bX2 + u, with y1 and X2 as
exogenous variables and X1 as the endogenous variable, but I have an
instrumental variable, Z1, for X1. Both, X1 and y1, are censored at
zero. So, what I�m doing in Stata is:
First step:
tobit X1 Z1, ll(0)
predict double X1_hat
Second step:
tobit y1 X1_hat X2, ll(0)
To correct the standard errors in a Two Stage Least Squares estimation
what I should continue doing is: (from FAQs: Two Least Squares
Regression)
rename X1_hat X1hold
rename X1 X1_hat
predict double res, residual
rename X1_hat X1
rename X1_hold X1_hat
replace res = res^2
summarize res
scalar realmse = r(mean)*r(N)/e(df_r)
matrix bmatrix = e(b)
matrix Vmatrix = e(V)
matrix Vmatrix = e(V) * realmse / e(rmse)^2
ereturn post bmatrix Vmatrix, noclear
ereturn display
This way I correct the variance and covariance matrix.
I should do the same way in the Two Stage Tobit estimation to correct
the var-cov matrix?
Thnak you in advance.
Leonor
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