格林 面板数据讲义-19.pptVIP

Econometric Analysis of Panel Data Econometric Analysis of Panel Data 19. Limited Dependent Variables And Models for Count Data Censoring and Corner Solution Models Censoring model: T(y*) = 0 if y* 0 and y* otherwise. Corner solution: y = 0 if some exogenous condition is met; y = g(x)+e if the condition is not met. We then model P(y=0) and E[y|x,y0]. (See text, pp. 518-519) Application: Fair, R., “A Theory of Extramarital Affairs,” JPE, 1978. Same structural form The Tobit Model Y* = x’?+ε, y = Max(0,y*), ε ~ N[0,?2] Other censoring limits: y=Max(L,y*) = y-L=Max(0,y*-L). Change constant term and LHS variable Upper censoring: y=Min(U,y*) = U-y = Max(0,U-Y*). Change constant and LHS variable and swap signs of estimated coefficients. Censoring limit is person specific: Same as above: Constant term becomes the variable with a coefficient fixed at 1. Censoring at both extremes: y=Max(L,Min(y*,U)). A minor extension of the model. Easy to accommodate. (Already done in major software.) Interval censoring over the entire range. See yesterday’s notes. (Tobin: “Estimation of Relationships for Limited Dependent Variables,” Econometrica, 1958. Tobin’s probit?) Conditional Mean Functions Conditional Means Predictions and Residuals What variable do we want to predict? y*? Probably not – not relevant y? Randomly drawn observation from the population y | y0? Maybe. Depends on the desired function What is the residual? y – prediction? Probably not. What do you do with the zeros? Anything - x?? Probably not. x? is not the mean. Generalized residuals – coming below. OLS is Inconsistent - Attenuation Estimating the Tobit Model Hessian for Tobit Model Simplified Hessian Recovering Structural Parameters Marginal Effects in Censored Regressions A Decompositioin Application: Fair’s Data Fair’s Study Corner solution model Discovered the EM method in the Econometrica paper Used the tobit instead of the Poisson (or some other) count model Did not account fo