Rfast2: tobit.reg – R documentation

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tobit.reg

Tobit regression

Tobit regression.

tobit.reg(y, x, ylow = 0, full = FALSE, tol = 1e-07, maxiters = 100)

`y`	The dependent variable; a numerical vector with values.
`x`	A matrix with the data, where the rows denote the samples (and the two groups) and the columns are the variables. This can be a matrix or a data.frame (with factors).
`ylow`	The lowest value below which nothing is observed. The cut-off value.
`full`	If this is FALSE, the coefficients and the log-likelihood will be returned only. If this is TRUE, more information is returned.
`tol`	The tolerance value to terminate the Newton-Raphson algorithm.
`maxiters`	The max number of iterations that can take place in each regression.

The tobit regression model is fitted.

When full is FALSE a list including:

`be`	The estimated regression coefficients.
`s`	The estimated scale parameter.
`loglik`	The log-likelihood of the model.
`iters`	The number of iterations required by Newton-Raphson.

When full is TRUE a list including:

`info`	The estimated theta, regression coefficients, their standard error, their Wald test statistic and their p-value.
`loglik`	The log-likelihood.
`iters`	The number of iterations required by Newton-Raphson.

Michail Tsagris

R implementation and documentation: Michail Tsagris <mtsagris@uoc.gr>.

Tobin James (1958). Estimation of Relationships for Limited Dependent Variables. Econometrica, 26(1): 24–36.

https://en.wikipedia.org/wiki/Tobit_model

x <- rnorm(100)
y <- rnorm(100)
y[y < 0] <- 0
a <- tobit.reg(y, x, full = TRUE)

A Collection of Efficient and Extremely Fast R Functions II

v0.0.9

GPL (>= 2.0)

Authors

Manos Papadakis, Michail Tsagris, Stefanos Fafalios and Marios Dimitriadis.

Initial release

2021-03-21