[R] function censReg in panel data setting

[Arne Henningsen]

Hi Igors

On 13 September 2011 13:27, Igors <igors.lahanciks at gmail.com> wrote:
> Any success in finding possible solutions for my problem?

Somewhat. The calculation of the log-likelihood values is numerically
much more robust/stable now. The log-likelihood contributions of some
individuals became minus infinity in your model. This was caused by
rounding errors as illustrated in the following simplified example:

log( exp( a ) + exp( b ) )

If a and b become smaller than approximately -800, exp( a ) and exp( b
) are rounded to zero and the log of their sum (zero) is minus
infinity.
I have solved this problem by replacing the above calculation by

log( exp( a - c ) + exp( b - c ) ) + c
with c = max( a, b )

The source code of the improved censReg package is available on
R-Forge [1]; R packages will be available on R-Forge [2] probably
within one day.

[1] https://r-forge.r-project.org/scm/?group_id=256
[2] https://r-forge.r-project.org/R/?group_id=256

Unfortunately, the calculation of the gradients is still not robust
but I expect that I can solve this problem in a similar way as I used
to solve the problem with the likelihood function itself. I will
continue working on this.

> I have tried to experiment with size of sample and I get really bad picture.
> I can't get it work even if sample is ~ 1000 obs. And it is way less than I
> would like to see working, taking into account my full sample size ~ 540 000
> obs.

I hope that you have a very fast computer -- or a lot of time for
waiting many days or even a few weeks.

/Arne


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