Marginal effects in Tobit

[jnugent]

Hi, does anyone have a code for estimating the marginal effects in a tobit model and the various specification tests covered in Greene's textbook treatment of tobit models? Thanks.

[TomDoan]

There are several examples among the Greene and Verbeek textbook examples which do LM specification tests for DDV and LDV. These are all based upon the generalized residuals. See

grnp681.prg
verp197.prg
verp205.prg

If you look at 22-16 in Greene, the ai is just the generalized residual. bi can be obtained as

prj fit
set b = %if(censored,-fit*gresid/%seesq,5*(gresid**2-1.0/%seesq))

The test statistic (22-17) can be computed as in the examples cited by using MCOV with the OPGSTAT option.


The adjustment factor for marginal effects can be computed using PRJ:

ldv(censor=lower,lower=0.0) y
# constant z2 z3 z5 z7 z8
prj(scale=sqrt(%seesq),lower=0.0,cdf=adjust)