On Mar 25, 2014, at 11:02 AM, Michal Kvasnička wrote: > Hallo. > > What are the residuals returned by resid() in this code? > > library(AER) > m <- tobit(y ~ x1 + x2, data=dat) > rr <- resid(m2, type = "response") > > Can I use them to test the normality of the random variable distribution > this way? >
I understood tobit regression to not be assuming Normal distributions, but rather truncated Normal. > qqnorm(rr) > shapiro.test(rr) That's not to say that the residuals are not supposed to be Normal. But most tests of normality are insensitive with small N and overly sensitive with large N, _and_ most methods are fairly robust to departures, so normality testing is either misguided or not necessary in most situations. > > And is it correct to handle heteroskedasticity of the model this way? Correct? (... and I see not descriptions of any "handling" so did you mean "assessment" which I addressed above.) What are the real-world costs of an incorrect answer? are you doing anything for which estimates in the tail of your distributions would be critical? > > coeftest(m2, vcov=sandwich) > > Many thanks for any help or hint. > > Best wishes, > Michal Kvasnicka > > [[alternative HTML version deleted]] > > ______________________________________________ > 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. David Winsemius Alameda, CA, USA ______________________________________________ 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.
