I am trying to estimate a quite complicated model (many variables with different structures), with a limited dependent variable, which ranges from 0-100% with about 45% of the sample having an observed value of 100%. I am currently drowning in the all the "goodness of fit" measures:
The OLS specification for this model provides the following results:
Residual standard error: 27.29 on 23109 degrees of freedom (48652 observations deleted due to missingness) Multiple R-squared: 0.1073, Adjusted R-squared: 0.1062 F-statistic: 102.9 on 27 and 23109 DF, p-value: < 0.00000000000000022
The tobit specification using
AER:tobit for this model provides the following results:
Scale: 52.14 Gaussian distribution Number of Newton-Raphson Iterations: 4 Log-likelihood: -7.76e+04 on 28 Df Wald-statistic: 3835 on 26 Df, p-value: < 0.000000000000000222
I have tried to calculate the pseudo R-squared based on the answer in this post as follows:
> fm0 <- update(tobit, . ~ 1) > 1 - as.vector(logLik(tobit)/logLik(fm0))  0.5953306
In addition, I read that I cannot compare the coefficients of OLS and Tobit directly, but that I have to something like
margEff(tobit), this is however again a function of the
Obviously I would also like to tinker with my model a bit. And although I am reasonably familiar with comparing OLS models, I have no clue how to compare tobit models. Let's say I include an interaction term, and the output becomes as follows:
Scale: 51.98 Gaussian distribution Number of Newton-Raphson Iterations: 4 Log-likelihood: -7.753e+04 on 30 Df Wald-statistic: 3947 on 28 Df, p-value: < 0.000000000000000222 > fm0 <- update(ES1tobit, . ~ 1) > 1 - as.vector(logLik(ES1tobit)/logLik(fm0))  0.5957015
In general, my questions mostly is, what do all these stats mean and how do they relate to each other? More specifically.
- How do I compare an OLS model with a Tobit model (as well as possible).
- How do I compare a Tobit model with another Tobit model?
- This is slightly more of an R related question, but with which package do I get the best information, to compare these out. I am currently constantly switching between
censReg, because I only now how to calculate the pseudo with
AER:tobitand only the marginal effects with