Re: st: Manual calculation of scale factors after tobit and/or truncreg [econometrics help]

[Clara Mukuria <C.Mukuria@sheffield.ac.uk>]

Thanks Marteen. I can retrieve these values from STATA but stored 
estimates are for the linear prediction and I am not sure how to apply 
sigma in order to generate the equivalent of predict y, ystar (ll, ul). 
It's not a constant effect on the estimates so can't just be subtracted. 
I've seen several formulas on the net - most of which are to generate 
marginal effects - and all of which produce different values. I know 
Stata will do out-of-sample calculations but as I said, the people who 
will be using these values will not be using Stata.


Maarten Buis said the following on 12/10/2012 12:55:
> On Fri, Oct 12, 2012 at 12:36 PM, Clara Mukuria  wrote:
> > Thanks Marteen. Its not the SE of the estimate I am after. Rather, its how
> > to adjust the linear predictions from Tobit/truncreg to the expexted values
> > conditional on either censoring (for Tobit) or truncation (for Truncreg).
> > STATA does this automatically for you but I need to work out how to do it
> > manually as the out of sample estimation  will not be done in STATA - nor
> > will those doing these estimations have access to the original dataset.
>
> Seems to me you are still looking for [sigma]_b[_cons]. Anyhow, Stata
> (note: not STATA) will do out of sample estimation. You can save the
> model without the data using -estimates save-. Others can open their
> own dataset and than use -estimates use- to open your model, and than
> they can use -predict- or whatever other post-estimation command they
> want.
>
> Hope this helps,
> Maarten
>
> ---------------------------------
> Maarten L. Buis
> WZB
> Reichpietschufer 50
> 10785 Berlin
> Germany
>
> http://www.maartenbuis.nl
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