Re: st: Censored Least Absolute Deviation and Probit

[Reshmi Sengupta <sengupta.r12@gmail.com>]

Hello Cameron,

Thank you so much for your reply. Actually, I want to relax the
distributional assumptions in estimating my Eq( 2 ) (the censored
Tobit type model), because, I have non-normality in errors (which I
checked using -tobcm- in STATA after a tobit estimation), and
therefore, I was contemplating of using CLAD.

However, I do not know the code for any other semi or non-parametric
estimation for the binary response model that can estimate Eq(1),
except for Manski's Maximum Score estimator. But because of large N
(around 13000 observations), I cannot use this estimation, and instead
trying to estimate it using a Probit ML (normality of errors is
satisfied using Probit ML).

Since, CLAD satisfies asymptotic normality of the distribution of the
error term, so I was wondering whether estimating the equations using
CLAD and Probit simultaneously, would be a reasonable and
statistically correct choice.

Please help.

Thank you.

Regards,

RSG

On Sun, Mar 4, 2012 at 3:34 PM, Cameron McIntosh <cnm100@hotmail.com> wrote:
> Hi,
>
> I think -cmp- would be your best bet. It does allow for simultaneous equations with a mix of link functions for accommodating a variety of particular response variable types:
>
> Roodman, D. (2011). Fitting fully observed recursive mixed-process models with cmp. The Stata Journal, 11(2), 159-206.http://www.stata-journal.com/article.html?article=st0224http://ideas.repec.org/c/boc/bocode/s456882.html
>
> Cam
>> Date: Sun, 4 Mar 2012 10:58:15 -0600
>> Subject: st: Censored Least Absolute Deviation and Probit
>> From: sengupta.r12@gmail.com
>> To: statalist@hsphsun2.harvard.edu
>>
>> Dear Friends,
>>
>> I need your help on the following question:
>>
>> Can I estimate a CLAD (Censored Least Absolute Deviation) and a Probit
>> model simultaneously?
>>
>> I have the following 2 equations:
>>
>> (1) Y1*=a0 + a1*Y2* + a2*X1 + e1
>>
>> where Y1=1 if Y1*>0
>>  and   Y1=0 if otherwise
>>
>> (2) Y2*=b0 + b1*Y1*+ b2*X2+e2
>>
>> where Y2=Y2* if Y2*>0
>>   and  Y2=0  if otherwise
>>
>> I am trying to estimate equation (1) using Probit Maximum Likelihood
>> (ML) and equation (2) using CLAD.
>>
>> Please let me know.
>>
>> I will sincerely appreciate any help.
>>
>> Best Regards,
>>
>> R. Sengupta
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