[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
> 
> _______________________________________________
> Limdep site list
> Limdep at limdep.itls.usyd.edu.au
> http://limdep.itls.usyd.edu.au

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