Re: st: RE: RE: Test for Heteroskedasticity

[Gillian.Frost@hsl.gov.uk]

Hello Tan,

If you can get your hands on a copy of the Stata book by Cameron & 
Trivedi, Microeconomics Using Stata (
http://www.stata.com/bookstore/microeconometrics-stata/index.html), then 
this has a section on model diagnostics for tobit models.  This includes a 
step-by-step account of how to perform a test of normality and a test of 
homoskedasticity.

I hope this helps,

Gillian





From:   Pattarawan Watcharaanantapong <chockyspice@gmail.com>
To:     statalist@hsphsun2.harvard.edu
Date:   24/01/2012 19:02
Subject:        Re: st: RE: RE: Test for Heteroskedasticity
Sent by:        owner-statalist@hsphsun2.harvard.edu



Ok,thank you Nick.

Tan

On Tue, Jan 24, 2012 at 1:43 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
> There's no point of English at stake here.
>
> The help for -whitetst- explains that it is intended for use after 
-regress- or -cnsreg-. It makes no sense to try to use it after -tobit-.
>
> Looking at the others, -clad- (STB) also seems completely unrelated to 
-tobit-.
>
> The more important question is: If there is a standard test for 
heteroscedasticity after -tobit-, why didn't StataCorp provide it?
>
> Nick
> n.j.cox@durham.ac.uk
>
> Pattarawan Watcharaanantapong
>
> Sorry if I use the wrong word becaue I am not a native english speaker
> but I do not how to explain. My question looks silly for somebody but
> I have no strong background about using stata, I just start to use
> Tobit model, so I have no idea about it. Maybe, I might have too many
> variables. Thank you for Tony.
> Sorry Nick, if you use inappropriate word to you.
>
> Tan
>
> On Tue, Jan 24, 2012 at 11:39 AM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
>> I'm with Tony here in the bemused corner of the stand.
>>
>> Quite what would the test be? Can you point to literature on an 
appropriate test? Even the idea of a residual seems problematic for a 
tobit model.
>>
>> Also, I am down as an author of -whitetst- (STB/SSC): the help says 
explicitly "-whitetst- is for use after -regress- or -cnsreg-", so 
invoking it is pointless and comment that it "does not work" is 
inappropriate.
>>
>> Nick
>> n.j.cox@durham.ac.uk
>>
>> Lachenbruch, Peter [Tony]
>>
>> A couple of comments:
>> 1.   Since Tobit seems to be working with truncated normals, doesn't 
this guarantee unequal variance?
>> 2.   Can you interpret a regression model with 35 predictors?  I can't 
even in multiple regression.
>>
>> Pattarawan Watcharaanantapong
>>
>>        I need to test for Heteroskedasticity after I run Tobit model,
>> do anyone know about stata command to test for heteroskedaticity for
>> tobit model? I tried whitetst, hettest, and clad but they did not work
>> after running Tobit.
>>
>> For example: I ran this regression below
>>
>> tobit  y x1 x2 x3 x4 x5 x6 x7 x8 x9 x10 x11....x35 [pweight], ll(0)
>> whitetst
>> last estimates not found
>>
>> Therefore, I am not sure I use the right command to test for
>> Heteroskedasticity or not. Thank you so much.
>>
>> *
>> *   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/
>
> *
> *   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/
>
> *
> *   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/

*
*   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/



------------------------------------------------------------------------
ATTENTION:

This message contains privileged and confidential information intended
for the addressee(s) only. If this message was sent to you in error,
you must not disseminate, copy or take any action in reliance on it and
we request that you notify the sender immediately by return email.

Opinions expressed in this message and any attachments are not
necessarily those held by the Health and Safety Laboratory or any person
connected with the organisation, save those by whom the opinions were
expressed.

Please note that any messages sent or received by the Health and Safety
Laboratory email system may be monitored and stored in an information
retrieval system.
------------------------------------------------------------------------
Think before you print - do you really need to print this email?
------------------------------------------------------------------------

------------------------------------------------------------------------
Scanned by MailMarshal - Marshal's comprehensive email content security
solution. Download a free evaluation of MailMarshal at www.marshal.com
------------------------------------------------------------------------
*
*   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/