Censored Regression (Tobit) Models

Maximum Likelihood estimation of censored regression (Tobit) models with cross-sectional and panel data.



Please note that only the most significant changes are reported here. A full ChangeLog is available in the log messages of the SVN repository on R-Forge.

        CHANGES IN VERSION 0.5-20 (2013-08-20)
  • fixed an internal problem so that this package can be used with R version 3.1

  • fixed a few minor internal problems that were indicated by "R CMD check" with R version 3.1

        CHANGES IN VERSION 0.5-16 (2012-10-12)
  • corrected bug in the calculation of the covariance matrix of the marginal effects: hence, all statistical tests for the marginal effects were wrong in previous versions of the censReg package

  • added print() method for objects that are returned by the margEff() method

        CHANGES IN VERSION 0.5-14 (2012-06-28)
  • the calculation of the gradients of the log-likelihood function for cross-sectional data is numerically more stable
        CHANGES IN VERSION 0.5-12 (2012-06-01)
  • added nobs() method that returns the (total) number of observations
        CHANGES IN VERSION 0.5-10 (2012-04-12)
  • added margEff() method that computes the marginal effects of the explanatory variables on the expected value of the dependent variable evaluated at the mean values of the explanatory variables. This functionality is currently not available for panel data models.
        CHANGES IN VERSION 0.5-8  (2012-03-04)
  • censReg() has an argument "logLikOnly" now: if this argument is set to TRUE, the model is not estimated but the log-likelihood contributions of all observations/individuals and the corresponding gradients calculated at the parameters specified by argument "start" are returned

  • made the calculation of the log-likelihood value of random effects panel data models with censored dependent variables and the calculation of the corresponsing gradient(s) numerically more robust and stable by calculating and storing the logarithms rather than the actual numbers

        CHANGES IN VERSION 0.5-6  (2011-09-06)
  • fixed bug that made it impossible to specify starting values for the estimation of censored random-effects panel data models (many thanks to Igors Lahanciks for reporting this bug!)
        CHANGES IN VERSION 0.5-4  (2011-05-17)
  • fixed bug that occured when a factor had "empty" levels (many thanks to Ulrich Morawetz for reporting this bug!)

  • censReg() now additionally returns the model terms and the degrees of freedom of the residuals

  • added a model.frame() method for objects of class "censReg"

  • added a formula() method for objects of class "censReg"

  • added extractAIC() method for objects of class "censReg"

  • added estfun() method for objects of class "censReg" that has an argument "includeSigma" (defaults to TRUE), which determines whether the derivative with respect to the logarithm of the variance parameter should be included

        CHANGES IN VERSION 0.5-2  (2010-08-25)
  • initial public release of the censReg package

Reference manual

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0.5-32 by Arne Henningsen, a year ago


Report a bug at http://r-forge.r-project.org/projects/sampleselection/

Browse source code at https://github.com/cran/censReg

Authors: Arne Henningsen <[email protected]>

Documentation:   PDF Manual  

Task views: Econometrics, Survival Analysis

GPL (>= 2) license

Imports glmmML, sandwich, miscTools, stats, plm

Depends on maxLik

Suggests AER, lmtest

Imported by GLMpack, gravity.

Suggested by doMIsaul, insight, tcensReg.

Enhanced by stargazer.

See at CRAN