[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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