[R] Tobit estimation?

[roger koenker]

For adventurous, but skeptical souls who lack faith in the usual
Gaussian tobit assumptions, I could mention that there is new
"fcen"  method for the quantreg rq() function that implements
Powell's tobit estimator using an algorithm of Bernd Fitzenberger.


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 Jan 19, 2006, at 6:04 AM, Achim Zeileis wrote:

> 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.
>>
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>
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