censReg: margEff.censReg – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

margEff.censReg

Marginal Effects in Censored Regression Models

Description

The margEff method computes the marginal effects of the explanatory variables on the expected value of the dependent variable evaluated. Please note that this functionality is currently not available for panel data models.

Usage

## S3 method for class 'censReg'
margEff( object, xValues = NULL, vcov = NULL,
   calcVCov = TRUE, returnJacobian = FALSE, ... )

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

Arguments

`object`	argument `object` of the `margEff` method must be an object of class `"censReg"` (returned by `censReg`); argument `object` of the `summary` method must be an object of class `"margEff.censReg"` (returned by `margEff.censReg`).
`xValues`	vector that specifies the values of the explanatory variables (including the intercept if it is included in the model), at which the marginal effects should be calculated. The number and order of the elements of this vector must correspond to the number and order of the estimated coefficients (without sigma). If this argument is `NULL` (or not specified), argument `xValues` is set to the mean values of the explanatory variables.
`vcov`	a symmetric matrix that specifies the variance covariance matrix of the estimated coefficients (without `logSigma`) that should be used to calculate the variance covariance matrix and the standard errors of the marginal effects. If this argument is `NULL` (the default), the variance covariance matix is obtained by `vcov( object, logSigma = FALSE )`.
`calcVCov`	logical. If `TRUE`, the approximate variance covariance matrices of the marginal effects is calculated and returned as an attribute (see below).
`returnJacobian`	logical. If `TRUE`, the Jacobian of the marginal effects with respect to the coefficients is returned as an attribute (see below).
`...`	currently not used.

Value

margEff.censReg returns an object of class "margEff.censReg", which is a vector of the marginal effects of the explanatory variables on the expected value of the dependent variable evaluated at the mean values of the explanatory variables. The returned object has an attribute df.residual, which is equal to the degrees of freedom of the residuals.

If argument calcVCov is TRUE, the object returned by margEff.censReg has an attribute vcov, which is a the approximate variance covariance matrices of the marginal effects calculated with the Delta method.

If argument returnJacobian is TRUE, the object returned by margEff.censReghas an attribute jacobian, which is the Jacobian of the marginal effects with respect to the coefficients.

summary.margEff.censReg returns an object of class "summary.margEff.censReg", which is a matrix with four columns, where the first column contains the marginal effects, the second column contains the standard errors of the marginal effects, the third column contains the corresponding t-values, and the fourth columns contains the corresponding P values.

Author(s)

Arne Henningsen

Examples

## Kleiber & Zeileis ( 2008 ), page 142
data( "Affairs", package = "AER" )
estResult <- censReg( affairs ~ age + yearsmarried + religiousness +
   occupation + rating, data = Affairs )
margEff( estResult )
summary( margEff( estResult ) )
margEff( estResult, xValues = c( 1, 40, 4, 2, 4, 4 ) )

censReg

Censored Regression (Tobit) Models

v0.5-32

GPL (>= 2)

Authors

Arne Henningsen <arne.henningsen@gmail.com>

Initial release

2020-08-04