xttobit fits random-effects tobit models. There is no command for a parametric conditional fixedeffects model, as there does not exist a sufficient statistic allowing the fixed effects to be conditioned out of the likelihood.
Panel data analysis has three more-or-less independent approches:
1. Independently pooled panels: there are no unique attributes of individuals within the measurement set, and no universal effects across time
2. Random effects model: there are unique, time constant attributes of individuals that are the results of random variation and do not correlate with the individual regressors. This model is adequate if we want to draw inferences about the whole population, not only the examined sample
3. Fixed effects model (or first differenced models): there are unique attributes of individuals that are not the results of random variation and that do not vary across time. Adequate if we want to draw inferences only about the examined individuals. Also known as "least squares dummy variable model"
y_{it}=x_{it}beta + u_i + e_it
u_i is the random effects
e_it is the individual effect
. xi: xttobit Contribution Period
Belief AmountInvested Cutoff RandomDraw realized econm
> ajor econyear if Treatment==4,
ll(0) ul(20)
Random-effects tobit
regression Number of
obs = 320
Group variable: Subject Number of groups =
16
Random effects u_i ~ Gaussian Obs per group: min = 20
avg = 20.0
max = 20
Wald chi2(8) = 372.07
Log likelihood = -643.86478 Prob > chi2 =
0.0000
------------------------------------------------------------------------------
Contribution | Coef.
Std. Err. z P>|z|
[95% Conf. Interval]
-------------+----------------------------------------------------------------
Period |
-.3714078 .0859276 -4.32
0.000 -.5398229 -.2029927
Belief |
.8871966 .1082666 8.19
0.000 .674998 1.099395
AmountInve~d | .4972489
1.099413 0.45 0.651
-1.657561 2.652059
Cutoff |
-.1031474 .0144602 -7.13
0.000 -.1314888 -.0748059
RandomDraw | .0298226 .0128297
2.32 0.020 .0046769
.0549683
realized | 1.19617 1.115385
1.07 0.284 -.9899439
3.382284
econmajor | -.1037135 4.025793
-0.03 0.979 -7.994123
7.786696
econyear | -1.11204 1.565532
-0.71 0.478 -4.180426
1.956345
_cons |
4.846538 4.027966 1.20
0.229 -3.048129 12.74121
-------------+----------------------------------------------------------------
/sigma_u | 4.153189 .9255023
4.49 0.000 2.339238 5.96714
/sigma_e | 4.6622 .2652641
17.58 0.000 4.142292
5.182109
-------------+----------------------------------------------------------------
rho |
.4424506 .1130577 .2400784 .6614899
------------------------------------------------------------------------------
Observation summary:
94 left-censored observations
185 uncensored observations
41 right-censored
observations
The output includes the overall and panel-level variance components (labeled sigma e and sigma u, respectively) together with rho, which is the percent contribution to the total variance of the panel-level variance component.
When rho is zero, the panel-level variance component is unimportant, and the panel estimator is not different from the pooled estimator. A likelihood-ratio test of this is included at the bottom of the output. This test formally compares the pooled estimator (tobit) with the panel estimator.
No comments:
Post a Comment