Samenvatting
Summary week 5-6 Econometrics 2 UvA
- Instelling
- Universiteit Van Amsterdam (UvA)
Summary of the course materials week 5-6 Econometrics 2 UvA.
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Voorbeeld van de inhoud
Week 5+6: paragraaf 6.3Limited depesdert variable Graphical illustraties truncation
These a re
quantitave ,
continuous variable s het
yi
"
=
Xi +
Ei ,
Ei ~
NID ( 0,1 ) .
In general ,
with out comes that are restricted in some for a
given value of Xi ,
the density is
truncated at the value ✗i
In truncated the observations
as
yi only
samples
-
wa .
,
*
ob Served If y
_
> 0 =) Ei > -
Xi The
be obtained from Limited part ,
.
can only a
truncation effect is
large for small Values
of the undvlying population . Model s
where
and small large value of
the
of Xi for Xi
possible observed outcomes outccmes
truncated standard normaal
Limited to interval called
✗
are an are f
censor ed samples .
a model
for truncated data
I
' '
-2
-1 I
We can sides the situation whee the truncation
is
from below with known truncation point .
Truncated density of the e r ro r terms
It assumed that the truncah.cn point is the truncation
is we
analyse effect of on
' * '
which be achieved b P
*
always p
-
Zero , can =
xi + 5 Ei
y
=
xi + Ei
yi
_
,
0 5
in deviation the known
measuring yi from
" '
yi only ob Served if yi
> 0
,
so Ei > -
✗ i P .
truncation pcint . We Write the model as (o ) or
XÍB complete b
"
+
OEI Ei IID E- [ Ei ] 0 We CDF F
yi
= ~ =
, ,
Ei is an e r ro r term with known symmetrie
{ }
' '
P E t P TE
*
Ei Ei > xi o
if ✗ c. P
- -
=
5
and continuous density f .
The Scale
factor
5
convenant
5 is as b extracting 5 we
/ ] [ ]
' '
* P ziet Ei > xi P P xi /310 < ziet
- -
=
that the
5 PE Ei > Xi
'
1310 ]
density f of the
-
aan now a ss u m e
( n or m ali te r ) Ei is
completely known
F (t) FC '
)
.
=
- -
✗i 310
/
Flxi > Plo )
the model
We assume the data satisfies ,
'
t > P /
if Xi 0
y :*
-
but to are not do Served .
" ' "
This gives trvncated density
yi
=
yi
=
✗i P + •
Ei if i
>0
( t)
'
fi 0
if te ✗ i. Plo
-
=
*
obseved ⇐ 0
yi
not if yi
f- i ( t ) f- ( t ) Plo
'
t
=
íf > xi
-
FLXÍPIO )
so the truncated of
density Ei is
'
'
to with
proportioneel the right part
'
The
t > ✗i 1315 of the
origin at
density f
-
.
b FC 1315 )
'
scoring is Needed to
✗i get
ffiltldt =/ .
S. Veeling
ijijij ij
, Estimation likelihood Tobit model censored data
b maximum for
consistent estimates of B are obtained b Dependent variable is called censored when
ml For the norman distribution we
get the cannot tahe values below
,
response or
.
pl i ) 0 / ( / ) Is )
3
'
xi
g- i
-
=
above a certain threshold the tobit model
⑤ ( xi 310
'
)
.
/
relaties obseved outcomes zo to an
as truncated density .
yi
"
by of
'
as Observations
yi
a re assumed to be index function yi
=
×:
p + 5 Ei means
'
nvutually independent
" "
,
we
get yi
=
yi
=
xi p + • Ei if yi
> 0
log ( L) =
log ( ply , ,
. .
.
, yn ) ) =
Ê ,
109 ( Plyi ) )
yi
= o
if yi
*
Eo
and have
with Scale parameter a
log Co2 )
a a {i
log 4) log (z i t )
-12 f-
= -
know symmetrie density f- with E [ Ei] =
0 .
'
-
÷ È
( yi -
xi
'
/3 )
-
Én log ( ¢ ( xi
>
Plo ) ) In the tcbit model ,
we
usvall Choose
¢ and F- OI
f-
= =
.
The last term comes in addition to the usual
In the truncated model only
"
> o whee
OLS terms and is called the truncation yi
,
obseved whereas in the cessored model
effect .
That term is non -
linear in Band 5
it assumed that response s
integration
is
yi-ocorresponding.to
so we need numerical to sake this .
"
to are also obseved
yi
Marginat effects in trvncated modus
and that values of Xi for such
Parameters P Measure the ME E- [ ]
on
y
observations a re known .
of the explanatory variable s × in the
The tobit model can be seen as a
population .
Therefore they a re
of interest
variaties of the
probit model ,
with a re
for cut -
of -
sample predictions ,
so to estimate
discrete option ( gia ) and whose the
effects for vnabseved
y C- 0 . If we a re
option S u c c e ss is
replaced by the
interest ed in within -
sample effects ,
so in
continuous variable > 0
the trvncated population with
"
then yi .
yi > 0
,
for the nor man distribution the ME are
Graphical
illustrations
[ yil i
E- ] ( Ai Plo B
"
> o = i -
-
✗ ixi
'
)
2x ; If we would simply apply OLS on a
with Ai = E [ Ei
lyi
"
> o ] =
¢ (x : Plo ) >
>0 cersored yi ,
we get inconsistent estimators
☒ Lxi 310
/ ) '
'
as E- [ yi] =/ Xi p .
The correctie term for P lies in (a ,
i )
The ME i n the d-
and is equal for an xi .
E
0
Ò
truncated population clases to than
o
a re ze ro
[
in the untruncated .
§
is
Ratios Bj / 13h continue to have the §
interpretation of the relative effect of I, I to I I to
and ✗
Xj ✗ in on the dependent variable and
untrvncated truncated 17 Xi 0 in
"
Xi + Ei then P[ ]
yi
=
equal for and
= =
a re .
yi ,
P [ Ei to ] =
0,5 and
yi > o have Standard normal
density .
yi
< a is not possible .
S. Veeling
sij ijijij ij
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