ivtobit: ivtobit (tobit model with instrumental variables)

In Paulms/RegUtils: Tools For Model Regressions

Description

ivtobit fits a tobit model where one or more of the regressors is endogenous.

Usage

ivtobit <- function(formula, instruments, data, subset, na.action = NULL,
weights, offset, contrasts = NULL, model = TRUE, y = TRUE, x = FALSE,
left=0, right = Inf, method = "BHHH", ...)

Arguments

formula	a symbolic description for the model to be estimated,
instruments	legacy option: a symbolic description for instrumental variables,
data	a data.frame,
subset	see lm for "alm", a character or numeric vector indicaing asubset of the table of coefficient to be printed for "print.summary.alm",
na.action	a function which indicates what should happen when the data contain NAs. The default is set by the na.action setting of options, and is na.fail if that is unset. The ‘factory-fresh’ default is na.omit. Another possible value is NULL, no action. Value na.exclude can be useful.
weights	an optional vector of weights to be used in the fitting process.
method	"twostep" for two step estimator or maximization method (from maxLik package), currently either "NR" (for Newton-Raphson), "BFGS" (for Broyden-Fletcher-Goldfarb-Shanno), "BFGSR" (for the BFGS algorithm implemented in R), "BHHH" (for Berndt-Hall-Hall-Hausman), "SANN" (for Simulated ANNealing), "CG" (for Conjugate Gradients), or "NM" (for Nelder-Mead). Lower-case letters (such as "nr" for Newton-Raphson) are allowed. If missing, a suitable method is selected automatically. See maxLik
...	further arguments.

Value

object of class 'ivtobit' which inherits from class 'maxLik' if maximun likelihood estimation is used. Components are identical to those of class 'maxLik' or 'lm' depending on method used, see maxLik or lm.

References

Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data. 2nd ed. Cambridge. MIT Press.

See Also

See Also as maxLik

Paulms/RegUtils documentation built on May 8, 2019, 1:27 a.m.