Re: st: AW: double hurdle model with Tobit second stage estimation

["Martin Weiss" <martin.weiss1@gmx.de>]

<>
http://www.stata-journal.com/sjpdf.html?articlenum=st0040



HTH
Martin
_______________________
----- Original Message ----- 
From: "Kirimi Sindi" <sindijul@msu.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, February 25, 2009 8:46 PM
Subject: Re: st: AW: double hurdle model with Tobit second stage estimation


> Hi Erickson,
>
> I do not seem to get the paper in The Stata Journal. Actually I have no 
> access to the journal. However, if I get you correctly do I estimate a 
> probit model of the first stage then before estimating the tobit model I 
> write " drop if <var> == 0 ", then estimate the Tobit directly? Will this 
> solve my problem whereas the Tobit model does not account for the joint 
> correlation of the error terms in the two models?
>
> For your information the dependent variable in the second stage is a 
> continuous variable with 70% pile up of zeros not count.
>
> Saha et. al, 1997 ( Applied Economics, 1997, 29, 1311-1316) in their paper 
> on "Calculating Marginal effects for zero expenditures ....." argue that 
> the problem can be solved by adding inverse of the Mills Ration of the 
> first stage Probit. This is equivalent to the two stage Heckman selection 
> model which I am not sure solves my problem.
>
> I am wondering which would help?
>
> Kirimi
>
> Erickson, Ken wrote:
> > Hi David and 'Statalisters',
> >
> > My colleague Mike just suggested this:
> >
> > ...Ken,
> >
> > Can you send my response to him?
> >
> > You need to use a drop statement   drop if <var> == 0
> >
> > Do this before the second stage...
> >
> > See "From the help desk: hurdle models," The Stata Journal, 2003, 3, 
> > Number 2, pp.178-184.
> >
> > Hope this helps!
> > Ken Erickson
> >
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of David Jacobs
> > Sent: Wednesday, February 25, 2009 1:47 PM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: Re: st: AW: double hurdle model with Tobit second stage 
> > estimation
> >
> > You've probably thought of this as well, but what about the -zip- 
> > or -znb- models in Stata.  Those options allow large proportions of zeros 
> > in your outcome variable.
> >
> > Is the problem with these models that the values above zero are not 
> > integers?  If they are integers or could be made into integers without 
> > messing things up, then these two equation count estimators might work.
> >
> > Dave Jacobs
> >
> > At 01:16 PM 2/25/2009, you wrote:
> >
> > > Heckprob is not appropriate in my case. Heckprob would treat the pile of 
> > > zeros i have as unobserved whereas the Tobit treats them as observed 
> > > zeros. This is the case in my data and therefore heckprob is not an 
> > > appropriate model. I could run a first stage Probit then a second stage 
> > > Tobit. However, the Tobit in the second stage does not use all the data 
> > > observed and hence the standard errors will not be correct leading to 
> > > wrong t statistics and be unable to interpret the results.
> > >
> > > Kirimi
> > >
> > > Martin Weiss wrote:
> > >
> > > > <>
> > > > Have you looked into
> > > >
> > > >
> > > > *************
> > > > help heckprob
> > > > *************
> > > >
> > > > ?
> > > >
> > > >
> > > > HTH
> > > > Martin
> > > >
> > > >
> > > > -----Ursprüngliche Nachricht-----
> > > > Von: owner-statalist@hsphsun2.harvard.edu
> > > > [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Kirimi 
> > > > Sindi
> > > > Gesendet: Mittwoch, 25. Februar 2009 17:43
> > > > An: statalist@hsphsun2.harvard.edu
> > > > Betreff: st: double hurdle model with Tobit second stage estimation
> > > >
> > > > Hey,
> > > >
> > > > I working on a double hurdle model. The first stage is a Probit model 
> > > > and the second stage is Tobit due to pile up of zeros. Is there a do 
> > > > program that can assist me in this procedure to get the correct 
> > > > standard errors accounting for the first stage estimation?
> > > >
> > > > Thank you,
> > > >
> > > > Kirimi
> > > --
> > > *******************************
> > > Imagination is more important than knowledge. For while knowledge 
> > > defines all we currently know and understand, imagination points to all 
> > > we might yet discover and create.
> > > *******************************
> > >
> > > Kirimi Sindi
> > > PhD Candidate
> > > Department of Agricultural,
> > > Food, and Resource Economics
> > > Room 20 Cook Hall
> > > Michigan State University
> > > East Lansing,  MI  48824
> > > Telephone: +1-517-353-5320
> > > Home Tel : +1-517-355-8151
> > > Fax: +1-517-432-1800
> > >
> > > *
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> >
> >
> >
> > *
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>
> --
> *******************************
> Imagination is more important than knowledge. For while knowledge defines 
> all we currently know and understand, imagination points to all we might 
> yet discover and create.
> *******************************
>
> Kirimi Sindi
> PhD Candidate
> Department of Agricultural,
> Food, and Resource Economics
> Room 20 Cook Hall
> Michigan State University
> East Lansing,  MI  48824
> Telephone: +1-517-353-5320
> Home Tel : +1-517-355-8151 Fax: +1-517-432-1800
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/

*
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