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xttobit Random-effects tobit models
Syntax
Remarks and examples
Also see
Menu
Stored results
Description
Methods and formulas
Options
References
Syntax
xttobit depvar
indepvars
options
if
in
weight
, options
Description
Model
noconstant
ll(varname | #)
ul(varname | #)
offset(varname)
constraints(constraints)
collinear
SE
vce(vcetype)
Reporting
level(#)
tobit
noskip
nocnsreport
display options
Integration
intmethod(intmethod)
intpoints(#)
Maximization
maximize options
coeflegend
Menu
Statistics
>
Longitudinal/panel data
>
Censored outcomes
>
Description
xttobit fits random-effects tobit models. There is no command for a parametric conditional fixedeffects model, as there does not exist a sufficient statistic allowing the fixed effects to be conditioned
out of the likelihood. Honore (1992) has developed a semiparametric estimator for fixed-effect tobit
models. Unconditional fixed-effects tobit models may be fit with the tobit command with indicator
variables for the panels; the indicators can be created with the factor-variable syntax described in
[U] 11.4.3 Factor variables. However, unconditional fixed-effects estimates are biased.
Options
Model
SE
vce(vcetype) specifies the type of standard error reported, which includes types that are derived from
asymptotic theory (oim) and that use bootstrap or jackknife methods (bootstrap, jackknife);
see [XT] vce options.
Reporting
Integration
Maximization
maximize options: difficult, technique(algorithm spec), iterate(#), no log, trace,
gradient, showstep, hessian, showtolerance, tolerance(#), ltolerance(#),
nrtolerance(#), nonrtolerance, and from(init specs); see [R] maximize. These options are
seldom used.
The following option is available with xttobit but is not shown in the dialog box:
coeflegend; see [R] estimation options.
stata.com
Example 1
Using the nlswork data described in [XT] xt, we fit a random-effects tobit model of adjusted
(log) wages. We use the ul() option to impose an upper limit on the recorded log of wages. We use
the intpoints(25) option to increase the number of integration points to 25 from 12, which aids
convergence of this model.
. use http://www.stata-press.com/data/r13/nlswork3
(National Longitudinal Survey. Young Women 14-26 years of age in 1968)
. xttobit ln_wage union age grade not_smsa south##c.year, ul(1.9)
> intpoints(25) tobit
(output omitted )
Random-effects tobit regression
Number of obs
=
19224
Group variable: idcode
Number of groups
=
4148
Random effects u_i ~ Gaussian
Obs per group: min =
1
avg =
4.6
max =
12
Integration method: mvaghermite
Integration points =
25
Wald chi2(7)
=
2924.91
Log likelihood = -6814.4638
Prob > chi2
=
0.0000
ln_wage
Coef.
Std. Err.
P>|z|
union
age
grade
not_smsa
1.south
year
.1430525
.009913
.0784843
-.1339973
-.3507181
-.0008283
.0069719
.0017517
.0022767
.0092061
.0695557
.0018372
20.52
5.66
34.47
-14.56
-5.04
-0.45
0.000
0.000
0.000
0.000
0.000
0.652
.1293878
.0064797
.074022
-.1520409
-.4870447
-.0044291
.1567172
.0133463
.0829466
-.1159536
-.2143915
.0027725
south#c.year
1
.0031938
.0008606
3.71
0.000
.0015071
.0048805
_cons
.5101968
.1006681
5.07
0.000
.312891
.7075025
/sigma_u
/sigma_e
.3045995
.2488682
.0048346
.0018254
63.00
136.34
0.000
0.000
.2951239
.2452904
.314075
.2524459
rho
.599684
.0084097
.5831174
.6160733
The output includes the overall and panel-level variance components (labeled sigma e and sigma u,
respectively) together with (labeled rho)
2
2
+ 2
which is the percent contribution to the total variance of the panel-level variance component.
When rho is zero, the panel-level variance component is unimportant, and the panel estimator is
not different from the pooled estimator. A likelihood-ratio test of this is included at the bottom of
the output. This test formally compares the pooled estimator (tobit) with the panel estimator.
Technical note
The random-effects model is calculated using quadrature, which is an approximation whose accuracy
depends partially on the number of integration points used. We can use the quadchk command to see
if changing the number of integration points affects the results. If the results change, the quadrature
approximation is not accurate given the number of integration points. Try increasing the number
of integration points using the intpoints() option and run quadchk again. Do not attempt to
interpret the results of estimates when the coefficients reported by quadchk differ substantially. See
[XT] quadchk for details and [XT] xtprobit for an example.
Because the xttobit likelihood function is calculated by GaussHermite quadrature, on large
problems the computations can be slow. Computation time is roughly proportional to the number of
points used for the quadrature.
Stored results
xttobit stores the following in e():
Scalars
e(N)
e(N g)
e(N unc)
e(N lc)
e(N rc)
e(N cd)
e(k)
e(k eq)
e(k eq model)
e(k dv)
e(df m)
e(ll)
e(ll 0)
e(chi2)
e(chi2 c)
e(rho)
e(sigma u)
e(sigma e)
e(n quad)
e(g min)
e(g avg)
e(g max)
e(p)
e(rank)
e(rank0)
e(ic)
e(rc)
e(converged)
Macros
e(cmd)
e(cmdline)
e(depvar)
e(ivar)
e(llopt)
e(ulopt)
e(k aux)
e(wtype)
e(wexp)
e(title)
e(offset1)
e(chi2type)
e(chi2 ct)
e(vce)
e(vcetype)
e(intmethod)
e(distrib)
e(opt)
e(which)
e(ml method)
e(user)
e(technique)
e(properties)
e(predict)
e(asbalanced)
e(asobserved)
number of observations
number of groups
number of uncensored observations
number of left-censored observations
number of right-censored observations
number of completely determined observations
number of parameters
number of equations in e(b)
number of equations in overall model test
number of dependent variables
model degrees of freedom
log likelihood
log likelihood, constant-only model
2
2 for comparison test
coefficient vector
constraints matrix
iteration log
gradient vector
variancecovariance matrix of the estimator
Functions
e(sample)
o
o
f (yi1
, . . . , yin
|xi1 , . . . , xini ) =
i
where
ei /2
(n
i
Y
)
o
F (yit
, xit + i ) di
t=1
1 (yo )2 /(22 )
2
e it it
yo
it
o
F (yit
, it ) = it
o
it
1 yit
o
if yit
C
o
if yit
L
o
if yit
R
where C is the set of noncensored observations, L is the set of left-censored observations, R is the
set of right-censored observations, and () is the cumulative normal distribution.
The panel level likelihood li is given by
Z
li =
ei /2
2
Z
(n
i
Y
)
o
F (yit
, xit + i ) di
t=1
o
g(yit
, xit , i )di
ex h(x)dx
M
X
wm
h(am )
m=1
This is equivalent to
f (x)dx
M
X
wm
exp (am )2 f (am )
m=1
where the wm
denote the quadrature weights and the am denote the quadrature abscissas. The log
likelihood, L, is the sum of the logs of the panel level likelihoods li .
The default approximation of the log likelihood is by adaptive GaussHermite quadrature, which
approximates the panel level likelihood with
li
M
X
2b
i
o
i am +
bi )
wm
exp (am )2 g(yit
, xit , 2b
m=1
o
where
bi and
bi are the adaptive parameters for panel i. Therefore, with the definition of g(yit
, xit , i ),
the total log likelihood is approximated by
n
X
wi log
2b
i
M
X
wm
m=1
i=1
ni
Y
2 exp ( 2b
bi )2 /22
i am +
exp (am )
2
o
F (yit
, xit +
2b
i am +
bi )
t=1
li,k
o
2b
i,k1 wm
exp am )2 g(yit
, xit , 2b
i,k1 am +
bi,k1 )
m=1
Letting
i,m,k1 =
bi,k
and
bi,k =
2b
i,k1 am +
bi,k1
M
X
o
, xit , i,m,k1 )
2b
i,k1 wm
exp (am )2 g(yit
=
(i,m,k1 )
l
i,k
m=1
M
X
(i,m,k1 )
m=1
o
, xit , i,m,k1 )
2b
i,k1 wm
exp (am )2 g(yit
2
(b
i,k )
li,k
The log likelihood can also be calculated by nonadaptive GaussHermite quadrature, the intmethod(ghermite) option:
L=
n
X
n
o
wi log Pr(yi1 , . . . , yini |xi1 , . . . , xini )
i=1
#
ni
M
n
o
1 X Y
o
F yit
, xit + 2 am
wm
wi log
t=1
m=1
i=1
n
X
"
Both quadrature formulas require that the integrated function be well approximated by a polynomial
of degree equal to the number of quadrature points. The number of periods (panel size) can affect
whether
ni
Y
o
F (yit
, xit + i )
t=1
is well approximated by a polynomial. As panel size and increase, the quadrature approximation can
become less accurate. For large , the random-effects model can also become unidentified. Adaptive
quadrature gives better results for correlated data and large panels than nonadaptive quadrature;
however, we recommend that you use the quadchk command (see [XT] quadchk) to verify the
quadrature approximation used in this command, whichever approximation you choose.
References
Honore, B. E. 1992. Trimmed LAD and least squares estimation of truncated and censored regression models with
fixed effects. Econometrica 60: 533565.
Naylor, J. C., and A. F. M. Smith. 1982. Applications of a method for the efficient computation of posterior
distributions. Journal of the Royal Statistical Society, Series C 31: 214225.
Pendergast, J. F., S. J. Gange, M. A. Newton, M. J. Lindstrom, M. Palta, and M. R. Fisher. 1996. A survey of
methods for analyzing clustered binary response data. International Statistical Review 64: 89118.
Skrondal, A., and S. Rabe-Hesketh. 2004. Generalized Latent Variable Modeling: Multilevel, Longitudinal, and
Structural Equation Models. Boca Raton, FL: Chapman & Hall/CRC.
Also see
[XT] xttobit postestimation Postestimation tools for xttobit
[XT] quadchk Check sensitivity of quadrature approximation
[XT] xtintreg Random-effects interval-data regression models
[XT] xtreg Fixed-, between-, and random-effects and population-averaged linear models
[R] tobit Tobit regression
[U] 20 Estimation and postestimation commands