Stata cannot execute fixed effect panel tobit model of course, but what if I doubt the result of random effect xttobit? After all, the assumption of random effect is too strong to always hold. Here is my thought to manually execute fixed effect panel tobit:
First, manually demean the dependent variable and all independent variables involved in the regression. The principle is the same as common panel fixed effect model, that is, subtracting the time-averaged x_i from x_it;
Then, run the pooled tobit regression model using tobit command.
However, it turns out that the censored limit will be changed after doing this. For example, initially the lower limit of the panel tobit model is 0 (or left censored at 0), which mean 0 is the minimum value of the dependent variable. After demeaning, however, there may be some values smaller than 0 being produced. Thought there is still a spike at 0, 0 won't be the lower limit any longer.
Under this circumstance, what model should I use to estimate? Or is it impossible to estimate panel tobit model with fixed effect because it doesnt have a sufficient statistic? Then how can we make sure the result of random effect panel tobit is stable and reliable?
Great thank to any help!