I am learning ml and wrote a simple tobit following the likelihood formula from here: https://jdemeritt.weebly.com/uploads...764/tobit1.pdf 
Sorry, wrong title! It does converge but give different parameter estimates
Here is an MWE
Sorry, wrong title! It does converge but give different parameter estimates
Here is an MWE
Code:
// Make data set seed 12553 clear set obs 10000 gen y = runiformint(0,10) gen x = runiformint(0,1) gen z = abs(rnormal() * 50) // Lower censoring gen Di = (y!=0) cap program drop mytobit_gf0 program mytobit_gf0 args todo b lnfj tempvar xb sigma non_censored censored qui gen double `xb' = (`b'[1,1]*x + `b'[1,2]*z + `b'[1,3]) qui gen double `sigma' = `b'[1,4] qui gen double `non_censored' = Di * (-ln(`sigma') + ln(normalden((y-`xb')/`sigma'))) qui gen double `censored' = (1-Di) * (1 - normal(`xb'/`sigma')) qui replace `lnfj' = `non_censored' + `censored' end ml model gf0 mytobit_gf0 (y = x z) /sigma ml check ml search ml maximize, difficult tobit y x z, ll(0)
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