coef.censReg: Coefficients, their Covariances, and Log-Likelihood Values of...

Description Usage Arguments Value Note Author(s) See Also Examples

View source: R/coef.censReg.R

Description

These functions extract the coefficient vectors, the corresponding covariance matrices, and log-likelihood values from censored regression models.

Usage

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## S3 method for class 'censReg'
coef( object, logSigma = TRUE, ... )

## S3 method for class 'censReg'
vcov( object, logSigma = TRUE, ... )

## S3 method for class 'censReg'
logLik( object, ... )

Arguments

object

object of class "censReg" (returned by censReg).

logSigma

logical value indicating whether the variance(s) of the model should be returned logarithmized.

...

currently not used.

Value

coef.censReg returns a vector of the estimated coefficients.

vcov.censReg returns the covariance matrix of the estimated coefficients.

logLik.censReg returns an object of class "logLik". This object is the log-likelihood value of the estimated model and has an attribute "df" that gives the degrees of freedom, i.e.\ the number of estimated parameters.

Note

When the censored regression model is estimated, the log-likelihood function is maximized with respect to the coefficients and the logarithm(s) of the variance(s). Hence, if argument logSigma is FALSE, the variance(s) of the model is/are calculated by applying the exponential function to the estimated logarithmized variance(s) and the covariance matrix of all parameters is calculated by the Delta method.

Author(s)

Arne Henningsen

See Also

censReg, summary.censReg, and coef.summary.censReg

Examples

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## Kleiber & Zeileis ( 2008 ), page 142
data( "Affairs", package = "AER" )
estResult <- censReg( affairs ~ age + yearsmarried + religiousness +
   occupation + rating, data = Affairs )
coef( estResult )
coef( estResult, logSigma = FALSE )
vcov( estResult )
vcov( estResult, logSigma = FALSE )
logLik( estResult )

Example output

Loading required package: maxLik
Loading required package: miscTools

Please cite the 'maxLik' package as:
Henningsen, Arne and Toomet, Ott (2011). maxLik: A package for maximum likelihood estimation in R. Computational Statistics 26(3), 443-458. DOI 10.1007/s00180-010-0217-1.

If you have questions, suggestions, or comments regarding the 'maxLik' package, please use a forum or 'tracker' at maxLik's R-Forge site:
https://r-forge.r-project.org/projects/maxlik/

Please cite the 'censReg' package as:
Henningsen, Arne (2017). censReg: Censored Regression (Tobit) Models. R package version 0.5. http://CRAN.R-Project.org/package=censReg.

If you have questions, suggestions, or comments regarding the 'censReg' package, please use a forum or 'tracker' at the R-Forge site of the 'sampleSelection' project:
https://r-forge.r-project.org/projects/sampleselection/
  (Intercept)           age  yearsmarried religiousness    occupation 
    8.1741974    -0.1793326     0.5541418    -1.6862205     0.3260532 
       rating      logSigma 
   -2.2849727     2.1098592 
  (Intercept)           age  yearsmarried religiousness    occupation 
    8.1741974    -0.1793326     0.5541418    -1.6862205     0.3260532 
       rating         sigma 
   -2.2849727     8.2470803 
              (Intercept)           age yearsmarried religiousness   occupation
(Intercept)    7.51552371 -0.1196798497  0.089357154 -3.970038e-01 -0.176564350
age           -0.11967985  0.0062557405 -0.008052616  5.380018e-04 -0.003932012
yearsmarried   0.08935715 -0.0080526163  0.018095076 -1.006372e-02  0.003581751
religiousness -0.39700379  0.0005380018 -0.010063723  1.630153e-01  0.005214883
occupation    -0.17656435 -0.0039320120  0.003581751  5.214883e-03  0.064731952
rating        -0.61644229  0.0011114966  0.004771647 -2.571292e-05 -0.006192755
logSigma       0.00696809 -0.0005561255  0.001594861 -4.944751e-03  0.000892592
                     rating      logSigma
(Intercept)   -6.164423e-01  0.0069680897
age            1.111497e-03 -0.0005561255
yearsmarried   4.771647e-03  0.0015948607
religiousness -2.571292e-05 -0.0049447513
occupation    -6.192755e-03  0.0008925920
rating         1.663236e-01 -0.0068779111
logSigma      -6.877911e-03  0.0045021647
              (Intercept)           age yearsmarried religiousness   occupation
(Intercept)    7.51552371 -0.1196798497  0.089357154 -3.970038e-01 -0.176564350
age           -0.11967985  0.0062557405 -0.008052616  5.380018e-04 -0.003932012
yearsmarried   0.08935715 -0.0080526163  0.018095076 -1.006372e-02  0.003581751
religiousness -0.39700379  0.0005380018 -0.010063723  1.630153e-01  0.005214883
occupation    -0.17656435 -0.0039320120  0.003581751  5.214883e-03  0.064731952
rating        -0.61644229  0.0011114966  0.004771647 -2.571292e-05 -0.006192755
sigma          0.05746640 -0.0045864114  0.013152944 -4.077976e-02  0.007361278
                     rating        sigma
(Intercept)   -6.164423e-01  0.057466395
age            1.111497e-03 -0.004586411
yearsmarried   4.771647e-03  0.013152944
religiousness -2.571292e-05 -0.040779761
occupation    -6.192755e-03  0.007361278
rating         1.663236e-01 -0.056722686
sigma         -5.672269e-02  0.306211731
'log Lik.' -705.5762 (df=7)

censReg documentation built on Aug. 4, 2020, 5:07 p.m.