[R] heckit / tobit estimation

[Arne Henningsen]

On Wednesday 20 April 2005 14:48, you wrote:
> For what it is worth, I  agree fully with Achim's view of  naming
> conventions, and also feel that it would be nice to connect these
> fitting methods with the survival stuff, just to cut down on the sense
> that econometrics and biostatistics represent some sort of Balkanization
> of statistics.  

I totally agree. Do you know any good description how tobit models are 
translated into survival models?

> Finally, having done ml type tobit methods it would be 
> nice
> to have an authoritative version of the Powell estimator for these
> models.

The ML estimation was written by Ott and, unfortunately, I do not know the 
"authoritative version of the Powell estimator". Maybe, Ott or Roger (or 
somebody else) can implement this.

Arne

> best,
>
> R.
>
> url:	www.econ.uiuc.edu/~roger        	Roger Koenker
> email	rkoenker at uiuc.edu			Department of Economics
> vox: 	217-333-4558				University of Illinois
> fax:   	217-244-6678				Champaign, IL 61820
>
> On Apr 20, 2005, at 7:31 AM, Achim Zeileis wrote:
> > Arne:
> >> 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?
> >
> > I don't know them, but I'm certainly not an expert in tobit
> > estimation...
> > Generally, I prefer functions that have a name like tobit() and where
> > the rest can be specified by parameters, that can be more easily
> > understood than abstract categorizations like "type 2" and "type 5".
> >
> >> 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)
> >
> > OK, I haven't checked those now, but I guess that it should be possible
> > to figure out first what the common *conceptual* properties of the
> > different models are and then turn them into *computational* tools. My
> > guess would be that type 2 and type 5 are not the best conceivable
> > abstractions of the underlying conceptual properties...
> >
> >> 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" ) )
> >> }
> >
> > Probably, I would allow both, I guess. Thus go for something like 3).
> >
> >> Does anybody have a better suggestion?
> >> How is this implemented in other software packages?
> >> What do you think is the best option?
> >
> > How did you implement it, btw? Christian Kleiber and I have been
> > playing
> > around with some tobit models which we fitted by interfacing survreg().
> > We also intend(ed) to write some tobit() function for our AER project
> > (which I have told you about offline, I think). Maybe we could pool our
> > efforts here, such that the functionality is not duplicated...but we
> > should discuss that offline.
> >
> > Best,
> > Z
> >
> > ______________________________________________
> > R-help at stat.math.ethz.ch mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide!
> > http://www.R-project.org/posting-guide.html

-- 
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/