Re: [Gretl-users] Fixed Effect crashed when I tried to include over 5000 entity dummies

Am 09.02.2019 um 13:54 schrieb Fred Engst: > Hi guys, > I love gretl, but I have a problem. > When I run the builtin fixed effect model on a panel data with over 5000 > firms, the gretl does fine. > But since the dependent variable has over 90% zeros, I tried to do a Tobit > model with entity dummies (i.e. fixed effect tobit). Hi, the econometrics of this is problematic. Quoting from Stata's documentation for xttobit: "There is no command for a parametric conditional fixed-effects model, as there does not exist a sufficient statistic allowing the fixed effects to be conditioned out of the likelihood." and: "Unconditional fixed-effects tobit models may be fit with the tobit command with indicator variables for the panels; [...] However, unconditional fixed-effects estimates are biased."