[R] function censReg in panel data setting

[Arne Henningsen]

On 8 September 2011 09:56, Igors <igors.lahanciks at gmail.com> wrote:
> Does censReg expect from panel data to be balanced?

No. censReg() can estimate models with unbalanced panel data. The
estimation in the code that you sent me indeed does not work but if I
remove the user-specified starting values (argument "start"), it works
fine.

R> summary(UpC)

Call:
censReg(formula = Power ~ Windspeed, left = -Inf, right = 2000,
    data = PData_In, nGHQ = 4, method = "BHHH", iterlim = 200)

Observations:
         Total  Left-censored     Uncensored Right-censored
           874              0            847             27

Coefficients:
              Estimate Std. error t value Pr(> t)
(Intercept) -462.26676   19.89517  -23.23  <2e-16 ***
Windspeed    188.38796    1.72492  109.22  <2e-16 ***
logSigmaMu     4.54053    0.03352  135.45  <2e-16 ***
logSigmaNu     5.08733    0.02706  188.00  <2e-16 ***
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

BHHH maximisation, 131 iterations
Return code 2: successive function values within tolerance limit
Log-likelihood: -5538.124 on 4 Df


/Arne


-- 
Arne Henningsen
http://www.arne-henningsen.name