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eviews6 can not report R2 in tobit model
Posted: Mon Sep 07, 2009 4:17 pm
by chow
hi,
I use the example file "tobit_fair.wf1" in the following path:
"C:\Program Files\EViews6\Example Files\EV6 Manual Data\Chapter 30 - Discrete and Limited Dependent Variable Models"
when estimate eq_tobit again,it can not report R-squared.
It has no problem in eviews5.
How can I solve the problem? Thanks!
Re: eviews6 can not report R2 in tobit model
Posted: Tue Sep 08, 2009 9:49 am
by EViews Glenn
Previous versions of EViews reported *an* R-2 measure which was based one of the residuals formed by taking the observed data minus the expected response. This is a perfectly valid R-2, but it has some undesirable properties and other better ones have been proposed in the literature (the McFadden R-2 is one example). As a result, after some discussion, we decided to not compute an R-2 for tobit models in anticipation of a more general set of goodness-of-fit measures. There are a number of these measures, and to be honest, we don't believe there is yet a consensus on which ones one should look at.
Most of these, however, can easily be computed using EViews. If you would like to propose a candidate measure, we can discuss how to compute it...
Re: eviews6 can not report R2 in tobit model
Posted: Tue Apr 27, 2010 7:56 am
by jan
Hey,
I have exactly this problem. Could you tell me, how to calculate McFadden's R2 for a Tobit Model in Eviews 6? Would be great!
Jan
Re: eviews6 can not report R2 in tobit model
Posted: Tue Apr 27, 2010 10:52 am
by EViews Glenn
It's pretty simple. Estimate the model twice, once with all of the variables, and once without, then compute
1-L_full/L_restricted
where the L are the likelihood functions.
Re: eviews6 can not report R2 in tobit model
Posted: Mon May 17, 2010 12:45 am
by mangalenka
It's pretty simple. Estimate the model twice, once with all of the variables, and once without, then compute
1-L_full/L_restricted
where the L are the likelihood functions.
Hi I apologise in advance I'm pretty new to Eviews. Can you please clarify what you mean by estimate the model without the variables, so the workfile has blank data? And also when you say compute the above equation- is that done in the Equation Estimation window(see attachment) where under Estimation Settings-Method I choose Binary from the drop down menu? If that is the correct window then can you please run me through the steps for computing "1-L_full/L_restricted"
Re: eviews6 can not report R2 in tobit model
Posted: Mon May 17, 2010 2:15 am
by mangalenka
p.s. These 2 files might be useful. The first is my balanced dated panel and the second is the not-Panel. When I estimate probit I get the same outputs does that look correct? Thank you very much!
Maggie