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Probit, Logit & Tobit Methods Lecture 12

Stata Output

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*
clear
use Mroz.dta
*
* Linear Probability Model
*
reg inlf nwifeinc educ exper expersq

Source |
SS
df
MS
-------------+-----------------------------Model | 33.4436821
4 8.36092052
Residual | 151.284074
748 .202251435
-------------+-----------------------------Total | 184.727756
752 .245648611

Number of obs
F( 4,
748)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

753
41.34
0.0000
0.1810
0.1767
.44972

-----------------------------------------------------------------------------inlf |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------nwifeinc | -.0049579
.0014974
-3.31
0.001
-.0078976
-.0020182
educ |
.0395919
.0075882
5.22
0.000
.0246951
.0544887
exper |
.044751
.0059173
7.56
0.000
.0331345
.0563675
expersq | -.0008855
.0001902
-4.66
0.000
-.0012589
-.0005122
_cons | -.1363468
.0928188
-1.47
0.142
-.3185631
.0458695
-----------------------------------------------------------------------------. mfx
Marginal effects after regress
y = Fitted values (predict)
= .56839309
-----------------------------------------------------------------------------variable |
dy/dx
Std. Err.
z
P>|z| [
95% C.I.
]
X
---------+-------------------------------------------------------------------nwifeinc | -.0049579
.0015
-3.31
0.001 -.007893 -.002023
20.129
educ |
.0395919
.00759
5.22
0.000
.024719 .054465
12.2869
exper |
.044751
.00592
7.56
0.000
.033153 .056349
10.6308
expersq | -.0008855
.00019
-4.66
0.000 -.001258 -.000513
178.039
------------------------------------------------------------------------------

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*
* Probit.
*
probit inlf nwifeinc educ exper expersq

Iteration
Iteration
Iteration
Iteration

0:
1:
2:
3:

log
log
log
log

likelihood
likelihood
likelihood
likelihood

= -514.8732
= -442.72285
= -441.73544
= -441.73476

Probit estimates

Number of obs
LR chi2(4)
Prob > chi2
Pseudo R2

Log likelihood = -441.73476

=
=
=
=

753
146.28
0.0000
0.1421

-----------------------------------------------------------------------------inlf |
Coef.
Std. Err.
z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------nwifeinc | -.0148638
.0045696
-3.25
0.001
-.0238201
-.0059075
educ |
.1211665
.0235956
5.14
0.000
.0749199
.167413
exper |
.1231042
.01799
6.84
0.000
.0878444
.158364
expersq | -.0023743
.0005848
-4.06
0.000
-.0035205
-.0012281
_cons | -1.880013
.29057
-6.47
0.000
-2.449519
-1.310506
-----------------------------------------------------------------------------. mfx
Marginal effects after probit
y = Pr(inlf) (predict)
= .57751056
-----------------------------------------------------------------------------variable |
dy/dx
Std. Err.
z
P>|z| [
95% C.I.
]
X
---------+-------------------------------------------------------------------nwifeinc | -.0058175
.00179
-3.25
0.001 -.009323 -.002312
20.129
educ |
.0474232
.00923
5.14
0.000
.029337 .065509
12.2869
exper |
.0481816
.00706
6.82
0.000
.034341 .062022
10.6308
expersq | -.0009293
.00023
-4.05
0.000 -.001379 -.00048
178.039
-----------------------------------------------------------------------------.
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*
* Logit.
*
logit inlf nwifeinc educ exper expersq

Iteration
Iteration
Iteration
Iteration

0:
1:
2:
3:

log
log
log
log

likelihood
likelihood
likelihood
likelihood

Logit estimates
Log likelihood =

-441.6214

= -514.8732
= -443.0279
= -441.62707
= -441.6214
Number of obs
LR chi2(4)
Prob > chi2
Pseudo R2

=
=
=
=

753
146.50
0.0000
0.1423

-----------------------------------------------------------------------------inlf |
Coef.
Std. Err.
z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------nwifeinc | -.0254526
.0077905
-3.27
0.001
-.0407217
-.0101836
educ |
.2032535
.0402968
5.04
0.000
.1242733
.2822337
exper |
.2014209
.0301041
6.69
0.000
.1424179
.2604239
expersq |
-.00386
.0009793
-3.94
0.000
-.0057794
-.0019406
_cons | -3.117439
.4967336
-6.28
0.000
-4.091019
-2.143859
------------------------------------------------------------------------------

. mfx
Marginal effects after logit
y = Pr(inlf) (predict)
= .57971549
-----------------------------------------------------------------------------variable |
dy/dx
Std. Err.
z
P>|z| [
95% C.I.
]
X
---------+-------------------------------------------------------------------nwifeinc | -.0062014
.0019
-3.27
0.001 -.009922 -.002481
20.129
educ |
.0495218
.0098
5.05
0.000
.030305 .068738
12.2869
exper |
.0490753
.00737
6.66
0.000
.034634 .063517
10.6308
expersq | -.0009405
.00024
-3.93
0.000
-.00141 -.000471
178.039
-----------------------------------------------------------------------------. tobit faminc educ exper expersq, ul(100000)
Tobit estimates
Log likelihood = -8098.6347

Number of obs
LR chi2(3)
Prob > chi2
Pseudo R2

=
=
=
=

753
107.68
0.0000
0.0066

-----------------------------------------------------------------------------faminc |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------educ |
1945.447
182.8746
10.64
0.000
1586.44
2304.454
exper |
-48.4024
148.6118
-0.33
0.745
-340.1469
243.3421
expersq |
-1.02987
4.794605
-0.21
0.830
-10.44231
8.382573
_cons | -124.9129
2332.854
-0.05
0.957
-4704.614
4454.788
-------------+---------------------------------------------------------------_se |
11341.46
292.2513
(Ancillary parameter)
-----------------------------------------------------------------------------Obs. summary:

753

uncensored observations

Heckman Correction Lecture 12


Stata Output
. logit inlf nwifeinc educ exper expersq age kidslt6 kidsge6
Iteration
Iteration
Iteration
Iteration
Iteration

0:
1:
2:
3:
4:

log
log
log
log
log

likelihood
likelihood
likelihood
likelihood
likelihood

=
=
=
=
=

-514.8732
-406.94123
-401.85151
-401.76519
-401.76515

Logit estimates
Log likelihood = -401.76515

Number of obs
LR chi2(7)
Prob > chi2
Pseudo R2

=
=
=
=

753
226.22
0.0000
0.2197

-----------------------------------------------------------------------------inlf |
Coef.
Std. Err.
z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------nwifeinc | -.0213452
.0084214
-2.53
0.011
-.0378509
-.0048394
educ |
.2211704
.0434396
5.09
0.000
.1360303
.3063105
exper |
.2058695
.0320569
6.42
0.000
.1430391
.2686999
expersq | -.0031541
.0010161
-3.10
0.002
-.0051456
-.0011626
age | -.0880244
.014573
-6.04
0.000
-.116587
-.0594618
kidslt6 | -1.443354
.2035849
-7.09
0.000
-1.842373
-1.044335
kidsge6 |
.0601122
.0747897
0.80
0.422
-.086473
.2066974
_cons |
.4254524
.8603696
0.49
0.621
-1.260841
2.111746
------------------------------------------------------------------------------

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predict xb, xb
gen smallphi=normd(xb)
gen largephi=normprob(xb)
gen lambda=smallphi/largephi
reg lwage educ exper expersq lambda if inlf==1

Source |
SS
df
MS
-------------+-----------------------------Model |
35.09243
4 8.77310751
Residual | 188.235021
423
.44500005
-------------+-----------------------------Total | 223.327451
427 .523015108

Number of obs
F( 4,
423)
Prob > F
R-squared
Adj R-squared
Root MSE

=
=
=
=
=
=

428
19.71
0.0000
0.1571
0.1492
.66708

-----------------------------------------------------------------------------lwage |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+---------------------------------------------------------------educ |
.1097902
.0153005
7.18
0.000
.0797157
.1398648
exper |
.0451776
.0160212
2.82
0.005
.0136865
.0766687
expersq | -.0008865
.0004369
-2.03
0.043
-.0017453
-.0000277
lambda |
.034491
.0868842
0.40
0.692
-.1362876
.2052696
_cons | -.5965943
.2735022
-2.18
0.030
-1.134187
-.0590017
------------------------------------------------------------------------------

. heckman lwage educ exper expersq, select(inlf= nwifeinc educ exper expersq
age kidslt6 kidsge
> 6) twostep
Heckman selection model -- two-step estimates
(regression model with sample selection)

Number of obs
Censored obs
Uncensored obs

=
=
=

753
325
428

Wald chi2(6)
Prob > chi2

=
=

180.10
0.0000

-----------------------------------------------------------------------------|
Coef.
Std. Err.
z
P>|z|
[95% Conf. Interval]
-------------+---------------------------------------------------------------lwage
|
educ |
.1090655
.015523
7.03
0.000
.0786411
.13949
exper |
.0438873
.0162611
2.70
0.007
.0120163
.0757584
expersq | -.0008591
.0004389
-1.96
0.050
-.0017194
1.15e-06
_cons | -.5781033
.3050062
-1.90
0.058
-1.175904
.0196979
-------------+---------------------------------------------------------------inlf
|
nwifeinc | -.0120237
.0048398
-2.48
0.013
-.0215096
-.0025378
educ |
.1309047
.0252542
5.18
0.000
.0814074
.180402
exper |
.1233476
.0187164
6.59
0.000
.0866641
.1600311
expersq | -.0018871
.0006
-3.15
0.002
-.003063
-.0007111
age | -.0528527
.0084772
-6.23
0.000
-.0694678
-.0362376
kidslt6 | -.8683285
.1185223
-7.33
0.000
-1.100628
-.636029
kidsge6 |
.036005
.0434768
0.83
0.408
-.049208
.1212179
_cons |
.2700768
.508593
0.53
0.595
-.7267472
1.266901
-------------+---------------------------------------------------------------mills
|
lambda |
.0322619
.1336246
0.24
0.809
-.2296376
.2941613
-------------+---------------------------------------------------------------rho |
0.04861
sigma | .66362876
lambda | .03226186
.1336246
------------------------------------------------------------------------------