Maarten,
Thanks a lot for very practical contribution. I have to think about it and
test it (I'm still not fully at ease with those likelihood estimation
method).
Great, really! :-)
----------------------------------------------
Fabrice Cavarretta
OB Dept. INSEAD
Mobile: +33 6 09 59 46 74
http://www.insead.edu/phd/careers/fcavarretta
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Maarten buis
Sent: Friday, December 21, 2007 12:31 PM
To: [email protected]
Subject: Re: st: Censored ... Heteroskedastic regression
--- Fabrice <[email protected]> wrote:
> I am trying to estimate an effect on variability of a dependent
> variable that happens to be censored.
>
> Normally, without censoring, I use a simple Maximum Likelihood
> Estimation, modeling in Stata the residual as I see fit. For
> instance, I can parameterize a simple linear effect both on mean and
> variance by:
> ml model lf mynormal1_lf (mu: Y=X) (sigma: X)
>
> For censoring, if I were to just seek the main effect, I would use a
> normal tobit.
>
> QUESTION: would anyone have a suggestion how to estimate (in Stata!)
> effect on dependent variable variance in the case of censored DV?
>
> Obviously, I could write my own likelihood function, but do not feel
> confident enough to do so yet (and maybe that is already done
> somewhere).
Below is a quick stab at a heteroskedastic tobit: the global tau is the
value at which the dependent variable is censored.
*-------------- begin example -------------------
set more off
sysuse nlsw88, clear
gen lnw = ln(wage)
capture program drop hettobit_lf
program define hettobit_lf
version 9.2
args lnf mu lnsigma
quietly {
replace `lnf' = ///
lnnormalden($ML_y1,`mu',exp(`lnsigma')) ///
if $ML_y1 > $tau
replace `lnf' = ///
lnnormal(($tau -`mu')/exp(`lnsigma')) ///
if $ML_y <= $tau
}
end
global tau = 1.4
ml model lf hettobit_lf ///
(mu: lnw=grade ttl_exp union) ///
(lnsigma: union)
ml check
ml search
ml maximize
*--------------- end example -------------------------
(For more on how to use examples I sent to the Statalist, see
http://home.fsw.vu.nl/m.buis/stata/exampleFAQ.html )
Hope this helps,
Maarten
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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