R: Tobit Regression

tobit {AER} | R Documentation

## Tobit Regression

### Description

Fitting and testing tobit regression models for censored data.

### Usage

      tobit(formula, left = 0, right = Inf, dist = "gaussian",
        subset = NULL, data = list(), ...)

### Arguments

`formula` | a symbolic description of a regression model of type `y ~ x1 + x2 + ...`.
`left` | left limit for the censored dependent variable `y`. If set to `-Inf`, `y` is assumed not to be left-censored.
`right` | right limit for the censored dependent variable `y`. If set to `Inf`, the default, `y` is assumed not to be right-censored.
`dist` | assumed distribution for the dependent variable `y`. This is passed to `survreg`, see the respective man page for more details.
`subset` | a specification of the rows to be used.
`data` | a data frame containing the variables in the model.
`...` | further arguments passed to `survreg`.

### Details

The function `tobit` is a convenience interface to `survreg` (for survival regression, including censored regression) setting different defaults and providing a more convenient interface for specification of the censoring information.

The default is the classical tobit model (Tobin 1958, Greene 2003) assuming a normal distribution for the dependent variable with left-censoring at 0.

Technically, the formula of type `y ~ x1 + x2 + ...` passed to `tobit` is simply transformed into a formula suitable for `survreg`: This means the dependent variable is first censored and then wrapped into a `Surv` object containing the censoring information which is subsequently passed to `survreg`, e.g., `Surv(ifelse(y <= 0, 0, y), y > 0, type = "left") ~ x1 + x2 + ...` for the default settings.

### Value

An object of class `"tobit"` inheriting from class `"survreg"`.

### References

Greene, W.H. (2003). Econometric Analysis, 5th edition. Upper Saddle River, NJ: Prentice Hall.

Tobin, J. (1958). Estimation of Relationships for Limited Dependent Variables. Econometrica, 26, 24–36.

### Examples

    data("Affairs")

    ## from Table 22.4 in Greene (2003)
    fm.tobit <- tobit(affairs ~ age + yearsmarried + religiousness + occupation + rating,
      data = Affairs)
    fm.tobit2 <- tobit(affairs ~ age + yearsmarried + religiousness + occupation + rating,
      right = 4, data = Affairs)

    summary(fm.tobit)
    summary(fm.tobit2)

[Package AER version 1.2-5 Index]