[Limdep Nlogit List] Odp: Tobit model with selectivity: inflatedstandard errors from probit
Jadwiga Kostrzewska
dwakotki at wp.pl
Fri Jan 15 08:19:13 EST 2010
Hello
In my models N in the output after the PROBIT command is equal to N in
the output after the SELECT command. In yours model:
> | Binomial Probit Model |
> | Number of observations 2366 |
and:
> | ML Estimates of Selection Model |
> | Number of observations 1284 |
Maybe it is strange.
I think you have some missing data in Lhs or Rhs variables.
Try:
DSTAT; Rhs=hadsex,BLACK,COLOURED,FEMALE,EDUC,INFHIV,HIVKNOW,
M_INC,MLIFEEXP,VLIFEEXP,AGE_10,AGE_2,CHILDEXP$
and
DSTAT; Rhs=RISK,BLACK, COLOURED, FEMALE, EDUC, INFHIV,
HIVKNOW, M_INC, MLIFEEXP, VLIFEEXP, AGE_10$
to look how many missing data is in your variables. Maybe you will find
something.
I prefer to set a sample myself (by using commands: SAMPLE$ REJECT$
INCLUDE$), not to let the Limdep to omit missing data. I don't like the
warnings like this :-)
* NOTE: Deleted 329 observations with missing data. N is now 2366 *
Best regards,
Jadwiga Kostrzewska
Dnia 14-01-2010 o godz. 20:26 andrea.mannberg at econ.umu.se napisał(a):
> 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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> Limdep at limdep.itls.usyd.edu.au
> http://limdep.itls.usyd.edu.au
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