[R] Problem using Tobit models in R (Testing and controlling for distributional assumptions and endogeneity)
Malte Brockmann
malte.brockmann at ebs.edu
Wed Nov 28 21:45:44 CET 2007
Dear R-Community,
I am currently using Tobit models (survreg in the survival package).
1a) Does R provide a straight-forward way to test distributional assumptions for tobit models?
1b) If not: I tried to apply the Hausman-test proposed in Newey (1987), Journal of Econometrics, on the Tobit estimator and the symmetrically censored least squares estimator proposed by Powell (1986) (quantreg package). Unfortunately, quantreg only provides covariance matrices based on the bootstrap which are not positive semi-definite, therefore the hausman test statistic based on the difference between both covariance matrices can be negative. Newey proposes 2 ways to calculate positive semi-definite covariance matrices: Is there a way to implement any of these without manually coding (or adapting) the tobit and SCLS estimation procedures to extract the necessary information needed for the estimation (first derivative of loglik w.r.t. theta, etc.)?
2) I apply the test for endogeneity proposed by Smith and Blundell (1986), Econometrica, and one of my variables turns out to be endogenous. Does R have a package for simultaneous equations with censored dependent variables? As far as I know, the sem package does estimate these types of equations.
Thanks in advance
Malte
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