Re: [R] function censReg in panel data setting

From: Arne Henningsen <arne.henningsen_at_googlemail.com>
Date: Sun, 11 Sep 2011 13:30:12 +0200

Dear Igors

On 9 September 2011 22:00, Igors <igors.lahanciks_at_gmail.com> wrote:
> Thank you for your answer. However it doesn't solve my problem fully.
>
> The problem is that I have much bigger data set than I sent to you (it was
> only a small part : 874 obs.). My full data set is 546718 obs.
>
> If I try to use censReg on full data set, then it still gives me the same
> already mentioned error about Na's in the initial gradient.
>
>
> I have sent you an e-mail with full dataset and the code.

Thanks!

> I would really
> appreciate if you could check how it works and suggest me how to solve this
> problem.

Now, I get the same error message. The problem is that the log-likelihood function becomes minus infinity. I guess that this problem occurs, because a likelihood contribution of (at least) one individual observation is so small that it is rounded zero and hence, its logarithm is minus infinity. However, I have to take a deeper look into this issue before I can give a definite answer and hopefully find a solution.

> I have noticed that you use "iterlim" argumet to specify maximum number of
> iterations.  How this argument could affect possibility of obtaining
> estimates?

Using your small data set, the maximization of the (log) likelihood function in censReg() did not converge within 100 iterations. Therefore, I increased the maximum number of iterations from 100 to 200 -- and then the maximization converged :-(

/Arne

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

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Received on Sun 11 Sep 2011 - 11:42:40 GMT

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