[R] Tobit Regression with unbalanced Panel Data

Fri Jan 6 15:08:18 CET 2017

Thank you for your answers.

I have just replaced pdata.frame with plm.data and it worked.

tobit1<- plm.data(T1, index = c("firm", "year"))

But I have two more questions, maybe someone could help:

summary(Tob)

Call:
censReg(formula = Imp ~ Bath + CEOTurnover + ChangeOCF + E +
    Sales + ROE + GTA + Size, data = tobit1, method = "BHHH")

Observations:
         Total  Left-censored     Uncensored Right-censored
           606            469            137              0

Coefficients:
              Estimate Std. error    t value  Pr(> t)
(Intercept)  1.110e-03  5.648e-04      1.965   0.0494 *
Bath         7.442e-03  6.780e-03      1.098   0.2724
CEOTurnover -1.500e-03  2.742e-04     -5.472 4.45e-08 ***
ChangeOCF   -6.738e-03  1.272e-03     -5.297 1.18e-07 ***
E           -5.515e-02  5.304e-03    -10.398  < 2e-16 ***
Sales        8.009e-03  3.487e-04     22.971  < 2e-16 ***
ROE          2.921e-03  5.896e-06    495.331  < 2e-16 ***
GTA         -3.509e-03  1.174e-03     -2.989   0.0028 **
Size        -5.688e-04  1.220e-04     -4.662 3.13e-06 ***
logSigma    -5.401e+00  2.746e-04 -19668.028  < 2e-16 ***
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

BHHH maximisation, 150 iterations
Return code 4: Iteration limit exceeded.
Log-likelihood: -66915.77 on 10 Df

How can I calculate McFadden's adjusted  R2 in R?
How could I reduce iteration?

Thank you,
Vanessa

2017-01-04 13:25 GMT+01:00 PIKAL Petr <petr.pikal at precheza.cz>:
>
> Hi
>
> Although I cannot help you with your actual problem, you shall start with checking your data before doing any analysis. We do not have your data so it is hard to say what can be wrong. At least you shall provide result of
>
> str(T1) and/or
> str(mydata)
>
> The first message is not an error but a warning that tells you about coercing some log values to NaN which can result e.g. from negative values.
>
> log(-1)
> [1] NaN
> Warning message:
> In log(-1) : NaNs produced
>
> and probably some further calculation in summary function does not like it and throws error.
>
> But without data it is only a guess.
>
> And BTW, you shall post plain text not HTML.
>
> Cheers
> Petr
>
>
> > -----Original Message-----
> > From: R-help [mailto:r-help-bounces at r-project.org] On Behalf Of Vanessa
> > Romero
> > Sent: Wednesday, January 4, 2017 10:28 AM
> > To: r-help at r-project.org
> > Subject: [R] Tobit Regression with unbalanced Panel Data
> >
> > Hello,
> >
> > I am doing Tobit Regression in R, because my dependent variable is censored
> > at 0. I have unbalanced panel data, for 6 years, 107 companies. I use package
> > CensReg.
> >
> > I have imported my database(T1).
> >
> > I use pdata.frame to specify the structure of my panel data. Like:
> >
> >
> > *mydata<- pdata.frame (T1, index = c("firm", "year")) *
> > Afterwards:
> >
> > *Tob <- censReg(formula=Imp ~ Bath + CEOTurnover + ChangeOCF + E +
> > Sales + ROE + GTA + Size , data = mydata, method="BHHH") * (as explained
> > here:
> > https://cran.r-project.org/web/packages/censReg/vignettes/censReg.pdf)
> >
> > I got here error message:
> >
> >
> > *Warnmeldung: In log(rEff$ercomp$sigma$id) : NaNs wurden erzeugt*
> >
> > Another error message when *summary(Tob)*
> >
> >
> >
> >
> >
> > *Call: censReg(formula = Imp ~ Bath + CEOTurnover + ChangeOCF + E + Sales
> > + ROE + GTA + Size, data = mydata, method = "BHHH") Observations: Total
> > Left-censored Uncensored Right-censored 606 469 137 0 Coefficients: Fehler
> > in printCoefmat(coef(x, logSigma = logSigma), digits = digits) : 'x' must be
> > coefficient matrix/data frame*
> >
> > I am new to statistics and to R, what could be the problem or would you
> > suggest using other package.
> >
> > Thank you,
> > Vanessa
> >
> >       [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide http://www.R-project.org/posting-
> > guide.html
> > and provide commented, minimal, self-contained, reproducible code.
>
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