url: www.econ.uiuc.edu/~roger Roger Koenker email [EMAIL PROTECTED] Department of Economics vox: 217-333-4558 University of Illinois fax: 217-244-6678 Champaign, IL 61820
On Nov 28, 2007, at 2:45 PM, Malte Brockmann wrote: > > 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). This "symmetrically censored least squares estimator" is NOT what is computed by the quantreg package. What is computed is the Powell quantile regression estimator. > Unfortunately, quantreg only provides covariance matrices based on > the bootstrap which are not positive semi-definite, The bootstrapped covariance provided by quantreg is the usual sample covariance matrix of the bootstrapped realizations and is therefore necessarily positive semi-definite. Perhaps what you meant to say was that the difference between the two covariance matrices that you have computed was not psd; this could easily happen. Nothing ensures that the Powell QR estimate is less efficient than the usual (normal theory) tobit estimator, indeed there are very plausible conditions under which this is not the case. > 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 > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting- > guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
