[R] Tobit estimation?

[Achim Zeileis]

On Thu, 19 Jan 2006 14:05:58 +0530 Ajay Narottam Shah wrote:

> Folks,
> 
> Based on
>   http://www.biostat.wustl.edu/archives/html/s-news/1999-06/msg00125.html
> 
> I thought I should experiment with using survreg() to estimate tobit
> models.

I've been working on a convenience interface to survreg() that makes it
particularly easy to fit tobit models re-using the survreg()
infrastructure. The package containing the code will hopefully be
release soon - anyone who wants a devel snapshot, please contact me
off-list.
Ajay, I'll send you the code in a separate mail.

Best,
Z

> I start by simulating a data frame with 100 observations from a tobit
> model
> 
> > x1 <- runif(100)
> > x2 <- runif(100)*3
> > ystar <- 2 + 3*x1 - 4*x2 + rnorm(100)*2
> > y <- ystar
> > censored <- ystar <= 0
> > y[censored] <- 0
> > D <- data.frame(y, x1, x2)
> > head(D)
>           y         x1        x2
> 1 0.0000000 0.86848630 2.6275703
> 2 0.0000000 0.88675832 1.7199261
> 3 2.7559349 0.38341782 0.6247869
> 4 0.0000000 0.02679007 2.4617981
> 5 2.2634588 0.96974450 0.4345950
> 6 0.6563741 0.92623096 2.4983289
> 
> > # Estimate it
> > library(survival)
> > tfit <- survreg(Surv(y, y>0, type='left') ~ x1 + x2,
>                   data=D, dist='gaussian', link='identity')
> 
> It says:
> 
>   Error in survreg.control(...) : unused argument(s) (link ...)
>   Execution halted
> 
> My competence on library(survival) is zero. Is it still the case that
> it's possible to be clever and estimate the tobit model using
> library(survival)?
> 
> I also saw the two-equation setup in the micEcon library. I haven't
> yet understood when I would use that and when I would use a straight
> estimation of a censored regression by MLE. Can someone shed light on
> that? My situation is: Foreign investment on the Indian stock
> market. Lots of firms have zero foreign investment. But many do have
> foreign investment. I thought this is a natural tobit situation.
> 
> -- 
> Ajay Shah
> http://www.mayin.org/ajayshah
> ajayshah at mayin.org
> http://ajayshahblog.blogspot.com <*(:-? - wizard who doesn't know the
> answer.
> 
> ______________________________________________
> 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
>