On Tue, 25 Apr 2006, Alan Spearot wrote:
> Hello,
>
> I've had no luck finding an R package that has the ability to estimate a
> Tobit model allowing for heteroskedasticity (multiplicative, for example).
> Am I missing something in survReg? Is there another package that I'm
> unaware of? Is there an add-on package that will test for
> heteroskedasticity?
If you mean survreg() [rather than survReg(), which is in S-PLUS] then it
can estimate models where the variance depends on a discrete covariate by
adding a strata() term to the model formula. For example:
> survreg(Surv(futime, fustat) ~ ecog.ps+strata(rx), data = ovarian,
+ dist = "weibull")
Call:
survreg(formula = Surv(futime, fustat) ~ ecog.ps + strata(rx),
data = ovarian, dist = "weibull")
Coefficients:
(Intercept) ecog.ps
8.0159674 -0.5940253
Scale:
rx=1 rx=2
1.2047759 0.5605876
Loglik(model)= -96.2 Loglik(intercept only)= -97.1
Chisq= 1.68 on 1 degrees of freedom, p= 0.2
n= 26
is a weibull model with different variance depending on the value of rx.
-thomas
Thomas Lumley Assoc. Professor, Biostatistics
[EMAIL PROTECTED] University of Washington, Seattle
______________________________________________
R-help@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
