Dear Statalisters,
I run a D-I-D analysis using a balanced household-month panel data. ~170,000 obs. overall.
My independent variables vary either "between" households (e.g. demographic dummies) or "within" households (policy change dummy, control for monthly advertising expenditures, etc.).
There are no explanatory variables that vary across both households and months (e.g Xit).
If I understand correctly, since there is no "between" variation in the panel,
I get the same results for fixed-effects, random-effects, and Pooled OLS models (except for different standard errors).
The "reduced form" results are:

So far so good...
Also, my dependent variable is the monthly meat purchase amount per household, which is censored at 0. This means that I should probably use Tobit.
To take advantage of the panel structure of my data, I ran a random-effects Tobit (using the -metobit- command) and compared the results to a Pooled Tobit model.
I was surprised to find that unlike the RE/Pooled OLS case the results are different.


So, my questions are:
1. why are the RE-Tobit results different from the Pooled-Tobit, unlike the linear models?
2. Can I rely on the Pooled Tobit results?
I see that the LR test in the metobit results rejects the H of equal models, but I thought that maybe the test is misspecified in the absence of "between" variation.
Any help would be greatly appreciated,
Thanks,
Adam
I run a D-I-D analysis using a balanced household-month panel data. ~170,000 obs. overall.
My independent variables vary either "between" households (e.g. demographic dummies) or "within" households (policy change dummy, control for monthly advertising expenditures, etc.).
There are no explanatory variables that vary across both households and months (e.g Xit).
If I understand correctly, since there is no "between" variation in the panel,
I get the same results for fixed-effects, random-effects, and Pooled OLS models (except for different standard errors).
The "reduced form" results are:
So far so good...
Also, my dependent variable is the monthly meat purchase amount per household, which is censored at 0. This means that I should probably use Tobit.
To take advantage of the panel structure of my data, I ran a random-effects Tobit (using the -metobit- command) and compared the results to a Pooled Tobit model.
I was surprised to find that unlike the RE/Pooled OLS case the results are different.
So, my questions are:
1. why are the RE-Tobit results different from the Pooled-Tobit, unlike the linear models?
2. Can I rely on the Pooled Tobit results?
I see that the LR test in the metobit results rejects the H of equal models, but I thought that maybe the test is misspecified in the absence of "between" variation.
Any help would be greatly appreciated,
Thanks,
Adam
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