* Calculating marginal effects for Tobit models including the * decomposition from: * McDonald and Moffitt (1980), "The Uses of Tobit Analysis", * Review of Economics and Statistics, Vol. 62, pp. 318-321. sample 1 20 * Data set from Judge, Hill, Griffiths, Lutkepohl and Lee, * Introduction to the Theory and Practice of Econometrics, * Second Edition, Wiley, 1988, Table 19.2, page 800. read (judge19.txt) y x TOBIT Y X / INDEX=XALPHA COEF=ALPHA GEN1 SIG=SQRT($SIG2) GEN1 NK=$K-1 GEN1 NOBS=$N * Get the regression coefficients SAMPLE 1 NK GENR BETA=ALPHA*SIG PRINT ALPHA BETA * * Formula are in Greene, Econometric Analysis, * Second Edition, 1993, pp. 694-695. * Fourth Edition, 2000, pp. 908-910 SAMPLE 1 NOBS SET NOOUTPUT DISTRIB XALPHA / TYPE=NORMAL PDF=PDF CDF=CDF GENR LAMBDA=PDF/CDF * Decompose the marginal effect (McDonald and Moffit method) GENR MY1=CDF*(1-LAMBDA*(XALPHA+LAMBDA)) GENR MY2=PDF*(XALPHA+LAMBDA) GENR MTOT=MY1+MY2 * Calculate the response of Y to a change in X GEN1 B=BETA:1 PRINT B GENR MY1X=B*MY1 GENR MY2X=B*MY2 GENR MTOTYX=B*MTOT PRINT MY1X MY2X MTOTYX STOP