Mark and Marcello,
My understanding is: you are able to run nonlinear models with
fixed-effects, but additional corrections are necessary for the bias
(see also Austin Nichols post or type help xttobit).
Some references can be found at
http://www.cemfi.es/~arellano/Nonlinear_Panel_Data.htm, and a seminar on
the topic is comming too
http://www.cemfi.es/studies/ssef/courses.asp?lang=en#panel
In particular, Hahn, J. and W.K. Newey (2004): "Jackknife and Analytical
Bias Reduction for Nonlinear Panel Models", Econometrica, 72, 1295-1319
is a good example that not particular nonlinear function is required.
However, one needs conditions over the size of the panel (T: time
periods and n: cross sectional units).
In Hahn-Newey's paper the panel is balanced and sample counterpart of
the required condition is easy to check, but if you have unbalanced
panel, the problem is more complex. My suggestion for this point is to
consider the T-size of the panel as the harmonic average of T_i, this is
based on the fact that panels are short in T but long in n.
It would be nice to have Stata code to implement Hahn and Newey analytic
bias-reduction. I think that Matlab or Gauss codes are available for
such cases. Given that Mata could deal with this in a couple of lines.
Rodrigo.
-----Mensaje original-----
De: [email protected]
[mailto:[email protected]] En nombre de Schaffer,
Mark E
Enviado el: Martes, 13 de Mayo de 2008 09:21 a.m.
Para: [email protected]
Asunto: st: RE: panel tobit with fixed effects
Marcello,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Sartarelli,
> Marcello
> Sent: Tuesday, May 13, 2008 1:12 AM
> To: [email protected]
> Subject: st: panel tobit with fixed effects
>
> dear statalist,
>
> i have a problem estimating the following panel tobit with a doubly
> censored dependent variable y and, time-varying regressors and
> individual fixed effects i.id where id is the individual id variable:
>
> xi : tobit y age tenure fsize reg2 reg3 decade2 decade3 i.id if
> gender==0, ll(0) ul(1)
Will this yield a consistent estimator? Probits with fixed effects
entered as dummies usually aren't, so I would be doubtful about a tobit.
See e.g.
http://www.stata.com/statalist/archive/2003-09/msg00103.html
Cheers,
Mark
> the panel dimension is 16000 individuals observed over 20 years but
> with attrition.
>
> if i estimate it on a standard pc, it runs out of memory for creating
> variable although maxvar is set to 32600.
> a super computer is insted taking days.
>
> suggestions are very welcome.
>
> if it is eventually not possible to estimate the model above in stata,
> i'll try gauss using http://www.princeton.edu/~honore/pantob/
> <http://www.princeton.edu/~honore/pantob/>
>
> thanks, m
>
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>
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