[Limdep Nlogit List] Calculation of marginals for dummy variables in Tobit
Durham, Cathy
cathy.durham at oregonstate.edu
Wed Sep 22 13:02:14 EST 2010
I'm having a problem with the recommended WALD procedure to calculate marginals for dummy variables in Tobit. I've tried the example on E21-9 and get the result below using some sample data.
The documentation on Wald tests and in the example indicate that using just beta, which is presumably the first parameter in B in the Fns does the job but this result has a problem. The technical details ( E21-9) indicate that 'beta' needs to be b but this seems to make it just read the first parameter from b, I don't see how beta is going to pull in the vector or what the fix is. I think I'm not understanding the Wald set up.
But this isn't working. If anyone has a suggestion or alternative approach it would help.
--> calc; Li=2 $
--> tobit;lhs=WTP;rhs=xs;
limit=Li;par $marginal; keep=estlin $
************************************************************************
* NOTE: Deleted 4 observations with missing data. N is now 887 *
************************************************************************
Normal exit from iterations. Exit status=0.
+---------------------------------------------+
| Limited Dependent Variable Model - CENSORED |
| Maximum Likelihood Estimates |
| Model estimated: Sep 21, 2010 at 05:52:28PM.|
| Dependent variable WTP |
| Weighting variable None |
| Number of observations 887 |
| Iterations completed 3 |
| Log likelihood function -1747.914 |
| Threshold values for the model: |
| Lower= 2.0000 Upper=+infinity |
| LM test [df] for tobit= 77.374[ 8] |
| ANOVA based fit measure = .078646 |
| DECOMP based fit measure = .080497 |
+---------------------------------------------+
+---------+--------------+----------------+--------+---------+----------+
|Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|>z] | Mean of X|
+---------+--------------+----------------+--------+---------+----------+
Primary Index Equation for Model
Constant 5.10909409 .20059045 25.470 .0000
X1 -.42173509 .12017146 -3.509 .0004 .45321308
X2 .43614041 .13161271 3.314 .0009 .29425028
X3 -.11644965 .17842206 -.653 .5140 .12739572
X4 -.02901619 .00864726 -3.356 .0008 8.58511838
X5 -.00402288 .00412285 -.976 .3292 37.4351747
X6 .71182806 .29337163 2.426 .0153 .04171364
X7 .58815857 .12295940 4.783 .0000 .38105975
Disturbance standard deviation
Sigma 1.73611921 .04121950 42.119 .0000
--> matrix;xb1=Mean(xs);xb0=xb1$
--> calc;xn=row(xb1)$
--> calc;v=b(9)$
--> matrix;xb1(8)=1 $
--> matrix;xb0(8)=0 $
--> Wald ;labels=beta,b1,b2,b3,b4,b5,b6,b7,v
;start=B;Var=varb
;Fn1=1-Phi((Li-beta'xb1)/v)
;Fn2=1-Phi((Li-beta'xb0)/v)
;Fn3=N01((Li-beta'xb1)/v)
;Fn4=N01((Li-beta'xb0)/v)
;Fn5= (Li+Fn1*(beta'xb1 - Li+v*Fn3/Fn1)) -
(Li+Fn2*(beta'xb0 - Li+v*Fn4/Fn2)) $
+-----------------------------------------------+
| WALD procedure. Estimates and standard errors |
| for nonlinear functions and joint test of |
| nonlinear restrictions. |
| VC matrix for the functions is singular. |
| Standard errors are reported, but the |
| Wald statistic cannot be computed. |
+-----------------------------------------------+
+---------+--------------+----------------+--------+---------+
|Variable | Coefficient | Standard Error |b/St.Er.|P[|Z|>z] |
+---------+--------------+----------------+--------+---------+
Fncn(1) .12466164 .00561965 22.183 .0000
Fncn(2) .12466164 .00561965 22.183 .0000
Fncn(3) .20546402 .00647381 31.738 .0000
Fncn(4) .20546402 .00647381 31.738 .0000
Fncn(5) .000000 ......(Fixed Parameter).......
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