Re: [R] tobit regression model

From: Achim Zeileis <Achim.Zeileis_at_uibk.ac.at>
Date: Thu, 10 Mar 2011 20:35:03 +0100 (CET)

On Thu, 10 Mar 2011, Jen wrote:

> Hi,
> I'm trying to fit a tobit regression model to some data. When fitting the
> exact same data in Stata, I have no problems at all, however R won't
> converge. Its not a maxiters thing, since I've tried increasing this
> already. I need to be able to fit the model in R since there are users of
> the code that don't have a Stata license.
>
> The code is:
>
> require(AER)
> left = 3.218476
> x = c(0,6,12,18)
> y = c(10.065819,7.803843,5.164786,3.218476)
> mod<-tobit(y~x, left = left, right = Inf)
>
> This gives back the following warning:
> Warning in survreg.fit(X, Y, weights, offset, init = init, controlvals =
> control, :
> Ran out of iterations and did not converge
>
> Has anyone come across this problem before or know a way to fix the
> problem?

For such a dataset, it's unlikely that the optimization may not be straightforward. I'm not sure what exactly Stata does and what survreg() does for choosing starting values and for declaring convergence. But in case of survreg() you can check the docs/code, and I would expect that also Stata documents this sufficiently well. This may well be the source of the differences in this small example.

What I did was simply providing my own starting values. In this case, the OLS regression coefficients should be rather close to the tobit result. Thus I did

m1 <- lm(y ~ x)
m2 <- tobit(y ~ x, left = 3.218476, init = coef(m1))

for which convergence is declared.

If anyone wants to use survreg() directly instead of the tobit() interface:

y2 <- Surv(y, y > 3.218476, type = "left") m3 <- survreg(y2 ~ x, dist = "gaussian", init = coef(m1))

which is exactly what tobit() does internally...

hth,
Z

> Thanks in advance,
> Jennifer
>
> --
> View this message in context: http://r.789695.n4.nabble.com/tobit-regression-model-tp3345789p3345789.html
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>
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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. Received on Thu 10 Mar 2011 - 19:42:03 GMT

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