Fitting and interpreting Cragg's tobit alternative using Stata
In this article, I introduce the user-written command craggit, which simultaneously fits both tiers of Craggâ€™s (1971, Econometrica 39: 829â€“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.
Volume (Year): 9 (2009)
Issue (Month): 4 (December)
|Contact details of provider:|| Web page: http://www.stata-journal.com/|
|Order Information:||Web: http://www.stata-journal.com/subscription.html|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cragg, John G, 1971. "Some Statistical Models for Limited Dependent Variables with Application to the Demand for Durable Goods," Econometrica, Econometric Society, vol. 39(5), pages 829-844, September.
- Peter Kennedy, 2003. "A Guide to Econometrics, 5th Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 026261183x.
When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:9:y:2009:i:4:p:584-592. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)or (Lisa Gilmore)
If references are entirely missing, you can add them using this form.