True! Here's my attempt -- use at your own risk.
honore <- function (b, dataset, x1, x2) {
dxb <- (x2 - x1) %*% b
y1 <- # insert your y variable here
y2 <- # insert your y variable here
sum(
(pmax(y1, dxb) - pmax(y2, dxb) - dxb)^2 +
2*(y1 < dxb)*(dxb-y1)*y2 +
2*(y2 < -dxb)* (-dxb-y2)*y1
)
}
fetobit <- function (dataset, form) {
x2 <- model.matrix(form, dataset[,T=2])
x1 <- model.matrix(form, dataset[,T=1])
# could maybe set initial values to something different
res <- optim(rep(0, ncol(x1)), fn=honore, x1=x1, x2=x2,
dataset=dataset, method="BFGS", control=list(maxit=1000))
if (res$convergence != 0) warning("Didn't converge")
res$par
}
For standard errors, bootstrap.
David Hugh-Jones
Research Associate
CAGE, Department of Economics
University of Warwick
http://davidhughjones.googlepages.com
On 12 July 2011 21:38, Daniel Malter <dan...@umd.edu> wrote:
> Not that I know of, but the paper says that they are easy to compute. If
> you
> did, you could contribute the code.
>
> Best,
> Daniel
>
>
> David Hugh-Jones-3 wrote:
> >
> > Hi all,
> >
> > Is there any code to run fixed effects Tobit models in the style of
> Honore
> > (1992) in R?
> > (The original Honore article is here:
> >
> http://www.jstor.org/sici?sici=0012-9682%28199205%2960%3A3%3C533%3ATLALSE%3E2.0.CO%3B2-2
> )
> >
> > Cheers
> > David
> >
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > R-help@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide
> > http://www.R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
> >
>
> --
> View this message in context:
> http://r.789695.n4.nabble.com/fixed-effects-Tobit-Honore-style-tp3662246p3663464.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help@r-project.org mailing list
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> PLEASE do read the posting guide
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>
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