Penalized Tobit Regression

The tobitnet package provides methods for fitting penalized Tobit models:

• tobitnet fits the Tobit model with a weighted elastic net penalty using generalized coordinate descent
• tobitscad fits the Tobit model with a SCAD penalty using a local linear approximation algorithm

See Jacobson and Zou (2023) for details.

References

Jacobson, T. and Zou, H. (2023), "High-Dimensional Censored Regression via the Penalized Tobit Likelihood," Journal of Business and Economic Statistics, DOI:10.1080/07350015.2023.2182309