Fitting and interpreting Cragg's tobit alternative using Stata
Fitting and interpreting Cragg's tobit alternative using Stata
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DOI：
10.1177/1536867x0900900405
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发表时间：
2009-01-01
期刊：
影响因子：
4.8
通讯作者：
Burke, William J.
中科院分区：
文献类型：
--
作者：
Burke, William J.
在本文中，我介绍了用户编写的命令 craggit，它同时适合 Cragg（1971，Econometrica 39：829-844）“双层”（有时称为“两阶段”或“双栏”）替代角点解模型 tobit 的两层。 tobit 模型的一个关键限制是，正值和实际值（假定为正）的概率是由相同的基础过程（即相同的参数）确定的。克拉格提出了一种更灵活的替代方案，通过在第一层中结合概率模型和在第二层中结合截断正态模型，允许通过单独的过程来确定这些结果。此外，tobit 嵌套在 craggit 中，使后者成为“两层”模型中的流行选择。在本文中，我还介绍了后估计语法，以方便对结果的理解和解释。
In this article, I introduce the user-written command craggit, which simultaneously fits both tiers of Cragg's (1971, Econometrica 39: 829-844) "two-tier" (sometimes called "two-stage" or "double-hurdle") alternative to tobit for corner-solution models. A key limitation to the tobit model is that the probability of a positive value and the actual value, given that it is positive, are determined by the same underlying process (i.e., the same parameters). Cragg proposed a more flexible alternative that allows these outcomes to be determined by separate processes through the incorporation of a probit model in the first tier and a truncated normal model in the second. Also, tobit is nested in craggit, making the latter a popular choice among "two-tier" models. In the article, I also present postestimation syntax to facilitate the understanding and interpretation of results.