Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: metrics
See also: glmest

Quantlet: tobit
Description: 2-step estimation of a Tobit model

Reference(s):

Usage: {b,s,cv} = tobit(x,y)
Input:
x n x d matrix , the observed explanatory variable
y n x 1 matrix , the observed response variable
Output:
b d x 1 vector, contains the estimated coefficients of the components of x
s scalar, contains the estimated standard deviation of the error term
cv (d+1)x(d+1) matrix, estimated covariance matrix for [b,s]

Example:

library("metrics")

n	=	500

k	=	2

x	=	matrix(n)~aseq(1, n ,0.25)

s	=	8

u	=	s*normal(n)

b	=	#(-9, 1)

ystar	=	x*b+u

y	=	ystar.*(ystar.>=0)

tstep	= 	tobit(x,y)

tstep.b

tstep.s

tstep.cv

dg	=	matrix(rows(tstep.cv),1)

dig	=	diag(dg)

stm	=	dig.*tstep.cv

std	=	sqrt(sum(stm,2))

coef	=	tstep.b|tstep.s

coef~(coef./std)	; t-ratios

Result:

2-step estimates of b and s 


Library: metrics
See also: glmest

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: akw 06/05/96
(C) MD*TECH Method and Data Technologies, 21.9.2000