RE: st: Normally distributed error term & testing normality of

[Ebru Ozturk <ebru_0512@hotmail.com>]

Hi Justina,

Thank you. But there is limited knowledge on Tobit regression in books. So, I just wanted to get as much as knowledge from you as I can. Sorry, for any inconvenience.

Kind regards
Ebru

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> Date: Mon, 15 Oct 2012 10:11:02 +0200
> From: JAVFischer@gmx.de
> Subject: Re: RE: st: Normally distributed error term & testing normality of
> To: statalist@hsphsun2.harvard.edu
>
> Hi Ebru,
>
> Jay gave you a very informative and easily to understand answer (IMHO) - if you know what tobit and the alternatives are (econometrically speaking) doing.
>
> I think you have reached a stage where you should take a book of econometrics and try to find out what each 'model' is for and what the underlying assumptions are.
>
> Best
>
> Justina
> -------- Original-Nachricht --------
> > Datum: Mon, 15 Oct 2012 10:15:18 +0300
> > Von: Ebru Ozturk <ebru_0512@hotmail.com>
> > An: statalist@hsphsun2.harvard.edu
> > Betreff: RE: st: Normally distributed error term & testing normality of
>
> > Do you mean that the model violates the Tobit assumptions in any case and
> > I should swithc to a different model?
> >
> > Thank you, Ebru
> >
> > ----------------------------------------
> > > Date: Sun, 14 Oct 2012 21:12:59 -0400
> > > Subject: Re: st: Normally distributed error term & testing normality of
> > > From: jvverkuilen@gmail.com
> > > To: statalist@hsphsun2.harvard.edu
> > >
> > > On Sun, Oct 14, 2012 at 11:06 AM, Ebru Ozturk <ebru_0512@hotmail.com>
> > wrote:
> > > >
> > > > But, the issue is not for me whether to use -glm- or -tobit-. I want
> > to learn how I can test Tobit specifications graphically.
> > > >
> > > > For instance, in linear regression they generate residuals and check
> > it by -qnorm- or -pnorm- (qnorm e). Also, to check heteroscedasticity they
> > make a graph of the residuals of the model against the predicted values.
> > > >
> > > > So, if the residuals will not be normal because of censoring, what
> > should I look at? What should I use instead of residuals in Tobit?
> > >
> > > I think the general problem is that residuals aren't separable from
> > > the model, so there is an unavoidable issue of whether to use -glm- or
> > > -tobit- at least in any real problem. They are functions of the
> > > predictions made and hence conditional on the model. One model may
> > > perform much better and thus have better behaved residuals than a
> > > different one. Trying to assess this graphically seems like trying to
> > > get a family sedan to drive like a sportscar. You can keep working at
> > > that problem and maybe get a reasonable approximation to it or you can
> > > switch to a model that doesn't make those assumptions.
> > >
> > > That said, I guess you could beak the problem into two pieces. Piece 1
> > > is a probit (or logit) of censored vs. not censored. Assess whether
> > > this is fitting reasonably well using the tools for probit models.
> > > Piece 2 is conditional on piece 1. The observed data are still not
> > > normal, but you might be able to find a reasonable model for them. As
> > > I said, I am not confident this would work, but one could try it.
> > >
> > > One big issue that Tobit model seems to ignore is that the things that
> > > predict being censored and the things that predict values for
> > > noncensored cases don't have to be the same thing. A model like -zip-
> > > (or an adaptation of it) seems like it has some potential in this
> > > regard.
> > > *
> > > * For searches and help try:
> > > * http://www.stata.com/help.cgi?search
> > > * http://www.stata.com/support/faqs/resources/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/faqs/resources/statalist-faq/
> > * http://www.ats.ucla.edu/stat/stata/
> *
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