Simulate parameters of a tobit model

March 3, 2009

(This article was first published on Yu-Sung Su's Blog, and kindly contributed to R-bloggers)

I got an email, asking me if our arm package can simulate tobit model to get simulated parameters. Indeed, arm does not suport tobit model. It only support sim() for lm, glm and mer classes in R. But it is not difficult to get a tobit verison of sim(). Here are the steps:1. fit a tobit (or double tobit) mode.library(AER)M1 <- tobit(y ~x) 2. get the coefficient vector.beta <- coef(M1) 3.

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