On Mon, 2 Apr 2012, Ravi Kulkarni wrote:
I am trying to work out a bootstrapped Tobit regression model. I get the coefficients all right, but they all have standard error zero. And I am unable to figure out why. I know the coefficients are correct because that's what I get when do a Tobit (without bootstrapping). Here's my code:# Bootstrap 95% CI for Tobit regression coefficients? library(boot) library(AER) # for the Affairs dataset data(Affairs) # function to obtain regression weights bs <- function(formula, data, indices) { d <- data[indices,] fit <- tobit(formula, data=Affairs) return(coef(fit)) } # bootstrapping with 1000 replications results <- boot(data=Affairs, statistic=bs, R=1000, formula=affairs~age+yearsmarried+religiousness+occupation+rating) # view results resultsThat gives me the right coefficients, but the SEs are all zero, so I cannot get 95% confidence intervals...
In the AER book in Chapter 7.2 we have an example for a linear regression where boot() is used on an lm() model. This can easily be adapted here:
## refit function and bootstrap refit <- function(data, i) coef(tobit( affairs ~ age + yearsmarried + religiousness + occupation + rating, data = data[i,])) m1 <- boot(Affairs, refit, R = 1000) ## original model m2 <- tobit(affairs ~ age + yearsmarried + religiousness + occupation + rating, data = Affairs) ## compare results m1 coeftest(m2) Hope that helps, Z
Any help is welcome... Ravi -- View this message in context: http://r.789695.n4.nabble.com/Bootstrapped-Tobit-regression-get-standard-error-0-tp4525760p4525760.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ [email protected] 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.
______________________________________________ [email protected] 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.
