[R] Pseudo R2 for Tobit Regression
Achim.Zeileis at wu-wien.ac.at
Sun Aug 17 10:33:16 CEST 2008
On Sat, 16 Aug 2008, ldotero wrote:
> Dear All:
> I need some guidance in calculating a goodness-of-fit statistic for a Tobit
> Regression model.
> To develop the Tobit regression, I used the tobit() method from the AER
> package, which is basically a simpler interface to the survreg() method.
> I've read about pseudo R2 and C-index and was wondering if there is a
> package that calculates this for me. Also, is there a reason to select
> pseudo R2 over C-Index, or viceversa?
McFadden's pseudo-R^2 can be computed via
fm <- tobit(...)
fm0 <- update(fm, . ~ 1)
1 - as.vector(logLik(fm)/logLik(fm0))
using accessor functions or via computing on the internal structure via
1 - fm$loglik/fm$loglik
> I will appreciate any suggestions.
> Many thanks.
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