[R] heckit / tobit estimation

[Arne Henningsen]

Dear All,

we (Ott Toomet and I) would like to add  functions for maximum likelihood (ML) 
estimations of generalized tobit models of type 2 and type 5 (*see below)  in 
my R package for microeconomic analysis "micEcon". So far we have called 
these functions "tobit2( )" and "tobit5( )". 
Are these classifications well known? How are these functions called in other 
software packages? Should we keep these names or does anybody have better 
suggestions? 

(* T. Amemiya (1984): Tobit models: a survey, Journal of Econometrics, and
T. Amemiya (1985): Advanced Econometrics)

Furthermore, the generalized tobit model of type 2 is identical to the Heckman 
model. Until now the package "micEcon" contains a function "heckit( )" that 
performs a two-step estimation of the Heckman / Tobit type 2 model. The 
difference between "heckit( )" and "tobit2( )" is that "heckit( )" performs a 
two-step estimation, while "tobit2( )" performs a maximum likelihood 
estimation. At the moment we are debating how to construct the user 
interface. These are our suggestions:

1) Keep it as it is:
heckit( ) does a two-step estimation and
tobit2( ) does a ML estimation

2) Having just one function:
tobit2( ..., method = "2step" ) does a two-step estimation
tobit2( ..., method = "ML" ) does a ML estimation
This has the advantage that other methods like a weighted two-step least 
squares can be added easily.

3) As suggestion 2). Argument "method" has the default "ML" and an
additional a wrapper function is added:
heckit <- function( ... ) {
   return( tobit2( ..., method = "2step" ) )
}

Does anybody have a better suggestion?
How is this implemented in other software packages?
What do you think is the best option?

Thanks,
Arne Henningsen
Ott Toomet


-- 
Arne Henningsen
Department of Agricultural Economics
University of Kiel
Olshausenstr. 40
D-24098 Kiel (Germany)
Tel: +49-431-880 4445
Fax: +49-431-880 1397
ahenningsen at agric-econ.uni-kiel.de
http://www.uni-kiel.de/agrarpol/ahenningsen/