Dear All,
we (Ott Toomet and I) would like to add functions for maximum likelihood (ML)
estimations of generalized tobit models of type 2 and type 5 (*see below) in
my R package for microeconomic analysis "micEcon". So far we have
called
these functions "tobit2( )" and "tobit5( )".
Are these classifications well known? How are these functions called in other
software packages? Should we keep these names or does anybody have better
suggestions?
(* T. Amemiya (1984): Tobit models: a survey, Journal of Econometrics, and
T. Amemiya (1985): Advanced Econometrics)
Furthermore, the generalized tobit model of type 2 is identical to the Heckman
model. Until now the package "micEcon" contains a function
"heckit( )" that
performs a two-step estimation of the Heckman / Tobit type 2 model. The
difference between "heckit( )" and "tobit2( )" is that
"heckit( )" performs a
two-step estimation, while "tobit2( )" performs a maximum likelihood
estimation. At the moment we are debating how to construct the user
interface. These are our suggestions:
1) Keep it as it is:
heckit( ) does a two-step estimation and
tobit2( ) does a ML estimation
2) Having just one function:
tobit2( ..., method = "2step" ) does a two-step estimation
tobit2( ..., method = "ML" ) does a ML estimation
This has the advantage that other methods like a weighted two-step least
squares can be added easily.
3) As suggestion 2). Argument "method" has the default "ML"
and an
additional a wrapper function is added:
heckit <- function( ... ) {
return( tobit2( ..., method = "2step" ) )
}
Does anybody have a better suggestion?
How is this implemented in other software packages?
What do you think is the best option?
Thanks,
Arne Henningsen
Ott Toomet
--
Arne Henningsen
Department of Agricultural Economics
University of Kiel
Olshausenstr. 40
D-24098 Kiel (Germany)
Tel: +49-431-880 4445
Fax: +49-431-880 1397
ahenningsen at agric-econ.uni-kiel.de
http://www.uni-kiel.de/agrarpol/ahenningsen/
Arne:> we (Ott Toomet and I) would like to add functions for maximum > likelihood (ML) estimations of generalized tobit models of type 2 and > type 5 (*see below) in my R package for microeconomic analysis > "micEcon". So far we have called these functions "tobit2( )" and > "tobit5( )". Are these classifications well known?I don't know them, but I'm certainly not an expert in tobit estimation... Generally, I prefer functions that have a name like tobit() and where the rest can be specified by parameters, that can be more easily understood than abstract categorizations like "type 2" and "type 5".> How are these > functions called in other software packages? Should we keep these > names or does anybody have better suggestions? > > (* T. Amemiya (1984): Tobit models: a survey, Journal of Econometrics, > and T. Amemiya (1985): Advanced Econometrics)OK, I haven't checked those now, but I guess that it should be possible to figure out first what the common *conceptual* properties of the different models are and then turn them into *computational* tools. My guess would be that type 2 and type 5 are not the best conceivable abstractions of the underlying conceptual properties...> Furthermore, the generalized tobit model of type 2 is identical to the > Heckman model. Until now the package "micEcon" contains a function > "heckit( )" that performs a two-step estimation of the Heckman / Tobit > type 2 model. The difference between "heckit( )" and "tobit2( )" is > that "heckit( )" performs a two-step estimation, while "tobit2( )" > performs a maximum likelihood estimation. At the moment we are > debating how to construct the user interface. These are our > suggestions: > > 1) Keep it as it is: > heckit( ) does a two-step estimation and > tobit2( ) does a ML estimation > > 2) Having just one function: > tobit2( ..., method = "2step" ) does a two-step estimation > tobit2( ..., method = "ML" ) does a ML estimation > This has the advantage that other methods like a weighted two-step > least squares can be added easily. > > 3) As suggestion 2). Argument "method" has the default "ML" and an > additional a wrapper function is added: > heckit <- function( ... ) { > return( tobit2( ..., method = "2step" ) ) > }Probably, I would allow both, I guess. Thus go for something like 3).> Does anybody have a better suggestion? > How is this implemented in other software packages? > What do you think is the best option?How did you implement it, btw? Christian Kleiber and I have been playing around with some tobit models which we fitted by interfacing survreg(). We also intend(ed) to write some tobit() function for our AER project (which I have told you about offline, I think). Maybe we could pool our efforts here, such that the functionality is not duplicated...but we should discuss that offline. Best, Z
On Wednesday 20 April 2005 14:48, you wrote:> For what it is worth, I agree fully with Achim's view of naming > conventions, and also feel that it would be nice to connect these > fitting methods with the survival stuff, just to cut down on the sense > that econometrics and biostatistics represent some sort of Balkanization > of statistics.I totally agree. Do you know any good description how tobit models are translated into survival models?> Finally, having done ml type tobit methods it would be > nice > to have an authoritative version of the Powell estimator for these > models.The ML estimation was written by Ott and, unfortunately, I do not know the "authoritative version of the Powell estimator". Maybe, Ott or Roger (or somebody else) can implement this. Arne> best, > > R. > > url: www.econ.uiuc.edu/~roger Roger Koenker > email rkoenker at uiuc.edu Department of Economics > vox: 217-333-4558 University of Illinois > fax: 217-244-6678 Champaign, IL 61820 > > On Apr 20, 2005, at 7:31 AM, Achim Zeileis wrote: > > Arne: > >> we (Ott Toomet and I) would like to add functions for maximum > >> likelihood (ML) estimations of generalized tobit models of type 2 and > >> type 5 (*see below) in my R package for microeconomic analysis > >> "micEcon". So far we have called these functions "tobit2( )" and > >> "tobit5( )". Are these classifications well known? > > > > I don't know them, but I'm certainly not an expert in tobit > > estimation... > > Generally, I prefer functions that have a name like tobit() and where > > the rest can be specified by parameters, that can be more easily > > understood than abstract categorizations like "type 2" and "type 5". > > > >> How are these > >> functions called in other software packages? Should we keep these > >> names or does anybody have better suggestions? > >> > >> (* T. Amemiya (1984): Tobit models: a survey, Journal of Econometrics, > >> and T. Amemiya (1985): Advanced Econometrics) > > > > OK, I haven't checked those now, but I guess that it should be possible > > to figure out first what the common *conceptual* properties of the > > different models are and then turn them into *computational* tools. My > > guess would be that type 2 and type 5 are not the best conceivable > > abstractions of the underlying conceptual properties... > > > >> Furthermore, the generalized tobit model of type 2 is identical to the > >> Heckman model. Until now the package "micEcon" contains a function > >> "heckit( )" that performs a two-step estimation of the Heckman / Tobit > >> type 2 model. The difference between "heckit( )" and "tobit2( )" is > >> that "heckit( )" performs a two-step estimation, while "tobit2( )" > >> performs a maximum likelihood estimation. At the moment we are > >> debating how to construct the user interface. These are our > >> suggestions: > >> > >> 1) Keep it as it is: > >> heckit( ) does a two-step estimation and > >> tobit2( ) does a ML estimation > >> > >> 2) Having just one function: > >> tobit2( ..., method = "2step" ) does a two-step estimation > >> tobit2( ..., method = "ML" ) does a ML estimation > >> This has the advantage that other methods like a weighted two-step > >> least squares can be added easily. > >> > >> 3) As suggestion 2). Argument "method" has the default "ML" and an > >> additional a wrapper function is added: > >> heckit <- function( ... ) { > >> return( tobit2( ..., method = "2step" ) ) > >> } > > > > Probably, I would allow both, I guess. Thus go for something like 3). > > > >> Does anybody have a better suggestion? > >> How is this implemented in other software packages? > >> What do you think is the best option? > > > > How did you implement it, btw? Christian Kleiber and I have been > > playing > > around with some tobit models which we fitted by interfacing survreg(). > > We also intend(ed) to write some tobit() function for our AER project > > (which I have told you about offline, I think). Maybe we could pool our > > efforts here, such that the functionality is not duplicated...but we > > should discuss that offline. > > > > Best, > > Z > > > > ______________________________________________ > > R-help at stat.math.ethz.ch mailing list > > https://stat.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guide! > > http://www.R-project.org/posting-guide.html-- Arne Henningsen Department of Agricultural Economics University of Kiel Olshausenstr. 40 D-24098 Kiel (Germany) Tel: +49-431-880 4445 Fax: +49-431-880 1397 ahenningsen at agric-econ.uni-kiel.de http://www.uni-kiel.de/agrarpol/ahenningsen/