Hi
I would like to know if there is a package that allows me to implement
endogenous Tobit/Probit model.
Example:
res1 <- rnorm(N);
res2 <- res1*0.5 + rnorm(N)
x <- z[,1]*2 + res1;
ys <- x*b + res2;
d <- (ys>0); #dummy variable
y <- d*ys;
y is censored and x is correlated
Hi,
How can I recover the variance-covariance matrix of the tobit model from
the variance-covariance of the survreg?
I first used to the survreg function and then I selected the variance
matrix. However, the last parameter is log(scale) and not the variance
of the standard deviation of the cens