function censReg in panel data setting

Dear Igors

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