[Limdep Nlogit List] Tobit model with selectivity: inflated standard errors from probit

andrea.mannberg at econ.umu.se andrea.mannberg at econ.umu.se
Fri Jan 15 06:26:37 EST 2010


Dear all,

Sorry for bothering you with this probably trivial question. The question
is related to the output in Nlogit4.0. I don't get an error message, but
something fishy is clearly going on, I just do not understand exactly what
it is. If any of you could give me a hint, I would appreciate it
immensely.

I am estimating a Tobit model with selectivity (as described in a previous
thread "tobit selectivity model with an endogenous regressor"). The model
is estimated without error messages and the coefficients in the first
probit and the tobit looks ok. However, when the program prints the output
for the probit together with the tobit, the standard errors have become
substantially inflated and all the p-values are equal to 1.000. Has anyone
else encountered this problem?

Let me describe the model and the output:

The code, as I have written it is (this is assuming I do not have
endogeneity issues as I have not solved that problem yet);

PROBIT
;Lhs=hadsex;Rhs=ONE,BLACK,COLOURED,FEMALE,EDUC,INFHIV,HIVKNOW,M_INC,MLIFEEXP,
VLIFEEXP, AGE_10, AGE_2, CHILDEXP ; Hold $
SELECT ; Lhs = RISK ; Rhs = ONE, BLACK, COLOURED, FEMALE, EDUC, INFHIV,
HIVKNOW, M_INC, MLIFEEXP, VLIFEEXP, AGE_10; Tobit ; MLE $

"RISK" is a continuous measure of sexual risk taking with a large pile of
zeroes for the individuals who are sexually active but have used condoms
constently. The "BLACK", "COLOURED", "FEMALE", "EDUC" and "HIVKNOW"
variables are dummy variables while the rest of the variables are
continuous. I have scaled the variables in order to facilitate convergence
(therefore the somewhat weird names, age is divided by ten etc.).

The output for the probit is (I have no idea what this will look like in
the list, so if it is a mess I apologize):

--> PROBIT ;
Lhs=hadsex;Rhs=one,black,coloured,Female,EDUC,INFHIV,HIVKNOW,m_i...

 ************************************************************************
 * NOTE: Deleted    329 observations with missing data. N is now   2366 *
 ************************************************************************

Normal exit from iterations. Exit status=0.

+---------------------------------------------+
| Binomial Probit Model                       |
| Maximum Likelihood Estimates                |
| Model estimated: Jan 14, 2010 at 08:14:40PM.|
| Dependent variable               HADSEX     |
| Weighting variable                 None     |
| Number of observations             2366     |
| Iterations completed                  5     |
| Log likelihood function       -1093.097     |
| Number of parameters                 13     |
| Info. Criterion: AIC =           .93499     |
|   Finite Sample: AIC =           .93506     |
| Info. Criterion: BIC =           .96669     |
| Info. Criterion:HQIC =           .94653     |
| Restricted log likelihood     -1465.224     |
| McFadden Pseudo R-squared      .2539727     |
| Chi squared                    744.2537     |
| Degrees of freedom                   12     |
| Prob[ChiSqd > value] =         .0000000     |
| Results retained for SELECTION model.       |
| Hosmer-Lemeshow chi-squared =   6.49811     |
| P-value=  .59162 with deg.fr. =       8     |
+---------------------------------------------+
+--------+--------------+----------------+--------+--------+----------+
|Variable| Coefficient  | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
+--------+--------------+----------------+--------+--------+----------+
---------+Index function for probability
 Constant|   -14.0301092      1.90411328    -7.368   .0000
 BLACK   |     .50649042       .16317627     3.104   .0019    .40490279
 COLOURED|    -.26603903       .13943244    -1.908   .0564    .50338123
 FEMALE  |    -.21833665       .06273571    -3.480   .0005    .53677092
 EDUC    |     .08856995       .09005374      .984   .3253    .85460693
 INFHIV  |    -.09238782       .03513228    -2.630   .0085   2.54353339
 HIVKNOW |     .35172637       .09197509     3.824   .0001    .28021978
 M_INC   |    -.14368614       .02708634    -5.305   .0000   1.41604635
 MLIFEEXP|     .01620880       .00566006     2.864   .0042   63.7612925
 VLIFEEXP|     .00021531       .00032177      .669   .5034   311.227860
 AGE_10  |    13.5059902      2.15787740     6.259   .0000   1.73453085
 AGE_2   |   -3.11259868       .61435353    -5.066   .0000   3.06560862
 CHILDEXP|     .45129232       .14623046     3.086   .0020    .07227388


THE OUTPUT AFTER CALLING THE TOBIT MODEL IS:

Normal exit from iterations. Exit status=0.

+---------------------------------------------+
| ML Estimates of Selection Model             |
| Maximum Likelihood Estimates                |
| Model estimated: Jan 14, 2010 at 08:14:46PM.|
| Dependent variable              INDEX_C     |
| Weighting variable                 None     |
| Number of observations             1284     |
| Iterations completed                 69     |
| Log likelihood function       -1895.199     |
| Number of parameters                 26     |
| Info. Criterion: AIC =          2.99252     |
|   Finite Sample: AIC =          2.99339     |
| Info. Criterion: BIC =          3.09696     |
| Info. Criterion:HQIC =          3.03173     |
| LHS is CENSORED. Tobit Model fit by MLE.    |
| FIRST 13 estimates are probit equation.     |
+---------------------------------------------+
+--------+--------------+----------------+--------+--------+
|Variable| Coefficient  | Standard Error |b/St.Er.|P[|Z|>z]|
+--------+--------------+----------------+--------+--------+
---------+Selection (probit) equation for HADSEX
 Constant|   -10.6595622     .125521D+11      .000  1.0000
 BLACK   |     .64782696     .965882D+10      .000  1.0000
 COLOURED|    -.25308439     .966332D+10      .000  1.0000
 FEMALE  |   -1.05106446     .238309D+09      .000  1.0000
 EDUC    |   -1.23588145     .632344D+10      .000  1.0000
 INFHIV  |     .02660619     .287335D+08      .000  1.0000
 HIVKNOW |    2.70265320     .544509D+10      .000  1.0000
 M_INC   |     .18813209     .765177D+08      .000  1.0000
 MLIFEEXP|     .05416825     .116988D+08      .000  1.0000
 VLIFEEXP|     .00222329      370561.366      .000  1.0000
 AGE_10  |    16.0126340     .564273D+10      .000  1.0000
 AGE_2   |   -4.13664271     .151389D+10      .000  1.0000
 CHILDEXP|    1.91080902     .582914D+10      .000  1.0000
---------+Corrected regression, Regime 1
 Constant|    -.42101297      1.78642248     -.236   .8137
 BLACK   |    -.68912766       .54414152    -1.266   .2054
 COLOURED|    -.18156593       .49736417     -.365   .7151
 FEMALE  |    1.00650432       .18460798     5.452   .0000
 EDUC    |    -.64845970       .28541129    -2.272   .0231
 INFHIV  |    -.13643627       .09034565    -1.510   .1310
 HIVKNOW |     .31304299       .25107535     1.247   .2125
 M_INC   |    -.21630205       .08331704    -2.596   .0094
 MLIFEEXP|    -.02287139       .02039172    -1.122   .2620
 VLIFEEXP|     .00126792       .00122946     1.031   .3024
 AGE_10  |    1.65168214       .35400211     4.666   .0000
 SIGMA(1)|    2.25722999       .13925410    16.209   .0000
 RHO(1,2)|     .98451832     .404146D+10      .000  1.0000


Now, I have clearly made som blunt misstake somewhere, but I am too new to
this to understand what it is I am missing. I am not even sure I am
providing the info needed for you to see the problem. If not, I would be
happy to do it if you just tell me what kind of information you need. As I
said above, I would really appreciate any help that you can provide.

Best regards,

Andrea Mannberg



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