censReg (version 0.5-2)

censReg: Censored Regression (Tobit) Model

Description

Fitting a model with a censored dependent variable.

Usage

censReg( formula, left = 0, right = Inf, data = sys.frame( sys.parent()),
   start = NULL, nGHQ = 8, ... )
## S3 method for class 'censReg':
print( x, logSigma = TRUE, digits = 4, ... )

Arguments

formula

an object of class "formula": a symbolic description of the model to be fitted.

left

left limit for the censored dependent variable; if set to -Inf, the dependent variable is assumed to be not left-censored; defaults to zero (classical Tobit model).

right

right limit for the censored dependent variable; if set to Inf, the dependent variable is assumed to be not right-censored; defaults to Inf (classical Tobit model).

data

an optional data frame. If argument data is of class "pdata.frame", a panel-model is estimated.

start

an optional vector of initial parameters for the ML estimation (intercept, slope parameters, and logarithm of the standard deviation of the disturbance term); if start is not specified, initial values are taken from an OLS

nGHQ

number of points used in the Gauss-Hermite quadrature, which is used to compute the log-likelihood value in case of the random effects model for panel data.

x

object of class censReg (returned by censReg).

logSigma

logical value indicating whether the variance(s) of the model should be printed logarithmized (see coef.censReg).

digits

positive integer specifiying the minimum number of significant digits to be printed (see print.default).

...

additional arguments for censReg are passed to maxLik; additional arguments for print.censReg are currently ignored.

Value

• censReg returns an object of class "censReg" inheriting from class "maxLik". The returned object contains the same components as objects returned by maxLik and additionally the following components:
• call
  the matched call.
• nObs
  a vector containing 4 integer values: the total number of observations, the number of left-censored observations, the number of uncensored observations, and the number of right-censored observations.

Details

The model is estimated by Maximum Likelihood (ML) assuming a Gaussian (normal) distribution of the error term. The maximization of the likelihood function is done by function maxLik of the maxLik package. An additional argument method can be used to specify the optimization method used by maxLik, e.g. "Newton-Raphson", "BHHH", "BFGS", "SANN" (for simulated annealing), or "NM" (for Nelder-Mead).

References

Greene, W.H. (2008): Econometric Analysis, Sixth Edition, Prentice Hall, p. 871-875.

Kleiber, C. and Zeileis, A. (2008): Applied Econometrics with R, Springer, p. 141-143.

Tobin, J. (1958): Estimation of Relationships for Limited Dependent Variables. Econometrica 26, p. 24-36.

See Also

summary.censReg, coef.censReg, tobit, selection

Examples

## Kleiber & Zeileis ( 2008 ), page 142
data( "Affairs", package = "AER" )
estResult <- censReg( affairs ~ age + yearsmarried + religiousness +
   occupation + rating, data = Affairs )
print( estResult )

## Kleiber & Zeileis ( 2008 ), page 143
estResultBoth <- censReg( affairs ~ age + yearsmarried + religiousness +
   occupation + rating, data = Affairs, right = 4 )
print( estResultBoth )