[Limdep Nlogit List] random effects tobit vs random coefficient tobit

Andreas Drichoutis adrihout at aua.gr
Mon Jan 18 02:52:42 EST 2010


Dear all,

 

I'm using a LR test to choose between a random effects tobit model and a
random coefficient tobit model with panel structure. The commands I use are:

 

namelist ; x2=one,
gender,age,hsize,totfee,econpos1,econpos2,econpos3,econpos4,period,treat_pr,
treat_tr $

skip $

tobit ; lhs=bet2lot4 ; rhs=x2; random effects ; pds=10 $

calc ; Logl4=logl   $

skip $

tobit ; lhs=bet2lot4 ; rhs=x2 ; pds=10; rpm ;
fcn=one(n),treat_pr(n),treat_tr(n) ; marginal $

calc ; Logl10=logl   $

 

calc ; list ; LRtest=-2*(Logl4-Logl10) ; DF=3; pvalue=1-Chi(LRtest,DF) $

 

However, the log likelihood of the random coefficients tobit is smaller than
the log likelihood of the random effects tobit which of course produces the
below output:

 

--> calc ; list ; LRtest=-2*(Logl4-Logl10) ; DF=3; pvalue=1-Chi(LRtest,DF) $

+------------------------------------+

| Listed Calculator Results          |

+------------------------------------+

 LRTEST  =   -335.667941

 DF      =      3.000000

  Error   471: Cannot compute CHI; parameter 1 is < = 0

  Error   116: CALC - Unable to compute result. Check earlier message.

Calculator: Computed   2 scalar results

 

What am I doing wrong?? The full output is listed below:

 

--> skip $

--> tobit ; lhs=bet2lot4 ; rhs=x2; random effects ; pds=10 $

Normal exit from iterations. Exit status=0.

logl,k,n=  -1416.333138      13     710

 

+---------------------------------------------+

| Limited Dependent Variable Model - CENSORED |

| Maximum Likelihood Estimates                |

| Model estimated: Jan 17, 2010 at 02:55:30PM.|

| Dependent variable             BET2LOT4     |

| Weighting variable                 None     |

| Number of observations              710     |

| Iterations completed                  4     |

| Log likelihood function       -1416.333     |

| Number of parameters                 13     |

| Info. Criterion: AIC =          4.02629     |

|   Finite Sample: AIC =          4.02703     |

| Info. Criterion: BIC =          4.10988     |

| Info. Criterion:HQIC =          4.05858     |

| Threshold values for the model:             |

| Lower=     .0000     Upper=+infinity        |

| LM test [df] for tobit=    156.751[ 12]     |

| Normality Test, LM    =     60.348[  2]     |

| ANOVA  based fit measure =    .103095       |

| DECOMP based fit measure =    .125142       |

+---------------------------------------------+

+--------+--------------+----------------+--------+--------+----------+

|Variable| Coefficient  | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|

+--------+--------------+----------------+--------+--------+----------+

+--------+Primary Index Equation for Model                            |

|Constant|   -15.3674***      2.08069611    -7.386   .0000            |

|GENDER  |    1.00451***       .17103259     5.873   .0000    .3943662|

|AGE     |     .31544***       .05005685     6.302   .0000   20.732394|

|HSIZE   |    -.02730          .07689967     -.355   .7225   4.3802817|

|TOTFEE  |     .46239***       .09951594     4.646   .0000   16.711268|

|ECONPOS1|    1.16291***       .40047154     2.904   .0037    .2676056|

|ECONPOS2|    1.61719***       .39306571     4.114   .0000    .2676056|

|ECONPOS3|    1.52737***       .37501870     4.073   .0000    .3239437|

|ECONPOS4|     .95004**        .45028925     2.110   .0349    .0845070|

|PERIOD  |     .18307***       .02701722     6.776   .0000   5.5000000|

|TREAT_PR|     .21049          .16936398     1.243   .2139    .4929577|

|TREAT_TR|     .72958***       .16449886     4.435   .0000    .5070423|

+--------+Disturbance standard deviation                              |

|Sigma   |    2.03689***       .05871361    34.692   .0000            |

+--------+------------------------------------------------------------+

| Note: ***, **, * = Significance at 1%, 5%, 10% level.               |

+---------------------------------------------------------------------+

 

Normal exit from iterations. Exit status=0.

logl,k,n=   -998.155408      14     710

 

+---------------------------------------------+

| Reestimated RANDOM EFFECTS Tobit Model      |

| Maximum Likelihood Estimates                |

| Model estimated: Jan 17, 2010 at 02:55:32PM.|

| Dependent variable             BET2LOT4     |

| Weighting variable                 None     |

| Number of observations              710     |

| Iterations completed                 30     |

| Log likelihood function       -998.1554     |

| Number of parameters                 14     |

| Info. Criterion: AIC =          2.85114     |

|   Finite Sample: AIC =          2.85199     |

| Info. Criterion: BIC =          2.94116     |

| Info. Criterion:HQIC =          2.88592     |

| Restricted log likelihood     -1416.333     |

| McFadden Pseudo R-squared      .2952538     |

| Chi squared                    836.3555     |

| Degrees of freedom                    1     |

| Prob[ChiSqd > value] =         .0000000     |

| Sample is 10 pds and      71 individuals.   |

+---------------------------------------------+

+--------+--------------+----------------+--------+--------+----------+

|Variable| Coefficient  | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|

+--------+--------------+----------------+--------+--------+----------+

|Constant|   -14.6483***      1.28389584   -11.409   .0000            |

|GENDER  |    1.92285***       .11195057    17.176   .0000    .3943662|

|AGE     |     .28561***       .02628378    10.867   .0000   20.732394|

|HSIZE   |    -.06575          .05534556    -1.188   .2348   4.3802817|

|TOTFEE  |     .45537***       .06140064     7.417   .0000   16.711268|

|ECONPOS1|    1.24880***       .24493824     5.098   .0000    .2676056|

|ECONPOS2|    1.47099***       .24651507     5.967   .0000    .2676056|

|ECONPOS3|     .99682***       .23244922     4.288   .0000    .3239437|

|ECONPOS4|     .09404          .29304674      .321   .7483    .0845070|

|PERIOD  |     .15308***       .00854629    17.912   .0000   5.5000000|

|TREAT_PR|     .18498*         .10982735     1.684   .0921    .4929577|

|TREAT_TR|     .84865***       .09862849     8.605   .0000    .5070423|

|Sigma(v)|    1.05254***       .01676555    62.780   .0000            |

|Sigma(u)|    1.85136***       .06332540    29.236   .0000            |

+--------+------------------------------------------------------------+

| Note: ***, **, * = Significance at 1%, 5%, 10% level.               |

+---------------------------------------------------------------------+

 

--> calc ; Logl4=logl   $

--> skip $

--> tobit ; lhs=bet2lot4 ; rhs=x2 ; pds=10; rpm ; fcn=one(n),treat_pr(n),
treat_tr(n) ; marginal $

 

+----------------------------------------------------+

| OLS Starting values for random parameters model    |

| Ordinary    least squares regression               |

| Model was estimated Jan 17, 2010 at 02:55:32PM     |

| LHS=BET2LOT4 Mean                 =   2.118859     |

|              Standard deviation   =   2.065007     |

| WTS=none     Number of observs.   =        710     |

| Model size   Parameters           =         12     |

|              Degrees of freedom   =        698     |

| Residuals    Sum of squares       =   2448.101     |

|              Standard error of e  =   1.872781     |

| Fit          R-squared            =   .1902701     |

|              Adjusted R-squared   =   .1775093     |

| Model test   F[ 11,   698] (prob) =  14.91 (.0000) |

| Diagnostic   Log likelihood       =  -1446.866     |

|              Restricted(b=0)      =  -1521.791     |

|              Chi-sq [ 11]  (prob) = 149.85 (.0000) |

| Info criter. LogAmemiya Prd. Crt. =   1.271609     |

|              Akaike Info. Criter. =   1.271606     |

|              Bayes Info. Criter.  =   1.348765     |

+----------------------------------------------------+

+--------+--------------+----------------+--------+--------+----------+

|Variable| Coefficient  | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|

+--------+--------------+----------------+--------+--------+----------+

|GENDER  |     .86421***       .15525106     5.567   .0000    .3943662|

|AGE     |     .28852***       .04511056     6.396   .0000   20.732394|

|HSIZE   |    -.01215          .06979876     -.174   .8617   4.3802817|

|TOTFEE  |     .36541***       .08981624     4.068   .0000   16.711268|

|ECONPOS1|    1.13420***       .35829935     3.166   .0015    .2676056|

|ECONPOS2|    1.36080***       .35263227     3.859   .0001    .2676056|

|ECONPOS3|    1.30121***       .33518827     3.882   .0001    .3239437|

|ECONPOS4|     .76261*         .40567359     1.880   .0601    .0845070|

|PERIOD  |     .18121***       .02446982     7.406   .0000   5.5000000|

|Constant|   -12.8792***      1.86921217    -6.890   .0000            |

|TREAT_PR|     .27916*         .15315829     1.823   .0683    .4929577|

|TREAT_TR|     .65945***       .14911202     4.423   .0000    .5070423|

+--------+------------------------------------------------------------+

| Note: ***, **, * = Significance at 1%, 5%, 10% level.               |

+---------------------------------------------------------------------+

 

Normal exit from iterations. Exit status=0.

logl,k,n=  -1165.989379      16     710

 

+---------------------------------------------+

| Random Coefficients  Tobit    Model         |

| Maximum Likelihood Estimates                |

| Model estimated: Jan 17, 2010 at 02:55:51PM.|

| Dependent variable             BET2LOT4     |

| Weighting variable                 None     |

| Number of observations              710     |

| Iterations completed                 65     |

| Log likelihood function       -1165.989     |

| Number of parameters                 16     |

| Info. Criterion: AIC =          3.32955     |

|   Finite Sample: AIC =          3.33065     |

| Info. Criterion: BIC =          3.43243     |

| Info. Criterion:HQIC =          3.36929     |

| Sample is 10 pds and      71 individuals.   |

| TOBIT (censored) regression model           |

| (Lower) censoring  limit is     .00         |

| Simulation based on 100 random draws        |

+---------------------------------------------+

+--------+--------------+----------------+--------+--------+----------+

|Variable| Coefficient  | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|

+--------+--------------+----------------+--------+--------+----------+

+--------+Nonrandom parameters                                        |

|GENDER  |     .94807***       .10995143     8.623   .0000    .3943662|

|AGE     |     .32899***       .03286281    10.011   .0000   20.732394|

|HSIZE   |    -.06144          .05077379    -1.210   .2262   4.3802817|

|TOTFEE  |     .23699***       .06499989     3.646   .0003   16.711268|

|ECONPOS1|    1.25894***       .27894351     4.513   .0000    .2676056|

|ECONPOS2|    1.85986***       .27514168     6.760   .0000    .2676056|

|ECONPOS3|    2.08401***       .26263528     7.935   .0000    .3239437|

|ECONPOS4|    1.44497***       .30369499     4.758   .0000    .0845070|

|PERIOD  |     .18833***       .00888661    21.193   .0000   5.5000000|

+--------+Means for random parameters                                 |

|Constant|   -11.8760***      1.36500586    -8.700   .0000            |

|TREAT_PR|    -.46555***       .11270688    -4.131   .0000    .4929577|

|TREAT_TR|     .75248***       .10430907     7.214   .0000    .5070423|

+--------+Scale parameters for dists. of random parameters            |

|Constant|    1.29447***       .05431955    23.831   .0000            |

|TREAT_PR|    1.53339***       .08708320    17.608   .0000            |

|TREAT_TR|    1.11736***       .07967833    14.024   .0000            |

+--------+Variance parameter given is sigma                           |

|Std.Dev.|    1.22359***       .01405740    87.043   .0000            |

+--------+------------------------------------------------------------+

| Note: ***, **, * = Significance at 1%, 5%, 10% level.               |

+---------------------------------------------------------------------+

 

 

Implied standard deviations of random parameters

 

Matrix S.D_Beta has  3 rows and  1 columns.

               1

        +--------------

       1|    1.29448

       2|    1.53340

       3|    1.11737

 

+-------------------------------------------+

| Partial derivatives of expected val. with |

| respect to the vector of characteristics. |

| They are computed at the means of the Xs. |

| Conditional Mean at Sample Point   1.8660 |

| Scale Factor for Marginal Effects   .9326 |

+-------------------------------------------+

+--------+--------------+----------------+--------+--------+----------+

|Variable| Coefficient  | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|

+--------+--------------+----------------+--------+--------+----------+

|GENDER  |     .88416***       .10448649     8.462   .0000    .3943662|

|AGE     |     .30682***       .03125703     9.816   .0000   20.732394|

|HSIZE   |    -.05730          .04733977    -1.210   .2261   4.3802817|

|TOTFEE  |     .22101***       .06092928     3.627   .0003   16.711268|

|ECONPOS1|    1.17408***       .26015875     4.513   .0000    .2676056|

|ECONPOS2|    1.73449***       .25796974     6.724   .0000    .2676056|

|ECONPOS3|    1.94354***       .24804356     7.835   .0000    .3239437|

|ECONPOS4|    1.34757***       .28435880     4.739   .0000    .0845070|

|PERIOD  |     .17563***       .00995265    17.647   .0000   5.5000000|

|Constant|   -11.0755***      1.30217462    -8.505   .0000            |

|TREAT_PR|    -.43417***       .10559238    -4.112   .0000    .4929577|

|TREAT_TR|     .70176***       .10142687     6.919   .0000    .5070423|

+--------+------------------------------------------------------------+

| Note: ***, **, * = Significance at 1%, 5%, 10% level.               |

+---------------------------------------------------------------------+

 

--> calc ; Logl10=logl   $

--> calc ; list ; LRtest=-2*(Logl4-Logl10) ; DF=3; pvalue=1-Chi(LRtest,DF) $

+------------------------------------+

| Listed Calculator Results          |

+------------------------------------+

 LRTEST  =   -335.667941

 DF      =      3.000000

  Error   471: Cannot compute CHI; parameter 1 is < = 0

  Error   116: CALC - Unable to compute result. Check earlier message.

Calculator: Computed   2 scalar results

 

 



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