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 (2022) for details.

References

Jacobson, T. and Zou, H. (2022) High-dimensional Censored Regression via the Penalized Tobit Likelihood. Manuscript submitted for publication.