Re: st: Formally comparing Tobit and Probit estimates

[Nick Cox <njcoxstata@gmail.com>]

I am assuming that despite your notation the x_1*  etc. are really the
same variable(s).

I can't see that the idea of a formal test makes any sense.

1. The coefficients are not even in the same dimensions or units of
measurement.
(It's a pity that statistics courses and texts almost uniformly
neglect such matters.)

2. The -tobit- model is linear; the -probit- model is nonlinear.

Nick
njcoxstata@gmail.com


On 21 January 2014 17:11, Radha Shah <payrs3@nottingham.ac.uk> wrote:
> Dear Statalist,
>
> I am using Stata version 12 for Windows. My question concerns formally comparing the coefficients on a Probit and Tobit model.
>
> For the Tobit model I run the following,
>
> tobit y_tobit x1_tobit x2_tobit x3_tobit, ll(0)
>
> where y is either 0 or a positive value.
>
> For the probit model I run the following,
>
> probit y_probit x1_probit x2_probit x3_probit
>
> where y_probit is 0 if y_tobit == 0 and is equal to 1 if y_tobit>0.
>
> Can anyone help me with the coding in Stata to conduct a statisitical test to test the hypothesis (for example): x1_tobit = x1_probit.
>
> I have seen that I can informally compare the estimates by looking for sign changes between them or visible differences in magnitude between (_b[x1_tobit]/_b[sigma]) and (_b[x1_probit]) but I was looking for something more statistically formal.
>
> Many thanks,
>
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