[R] Tobit variance covariance matrix
Leandro Magnusson
Leandro_Magnusson at brown.edu
Tue Jul 11 08:27:44 CEST 2006
Hi,
How can I recover the variance-covariance matrix of the tobit model from
the variance-covariance of the survreg?
I first used to the survreg function and then I selected the variance
matrix. However, the last parameter is log(scale) and not the variance
of the standard deviation of the censored distribution as in the Tobit
model.
tobit<- survreg(Surv(y, y > 0, type ='left')~ 0+ z + vh, dist = 'gaussian');
Om <- tobit$var;
Thanks
Leandro
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