Appreciate any suggestions regarding how to fit an unbalanced panel data to a Tobit model using R functions. I am trying to analyze how real estate capital expenditures (CapEx) are affected by market conditions using a panel Tobit model. The CapEx is either positive or 0, so it is censored. The data are unbalanced panel, including the CapEx of about 5000 properties over about 40 quarters, with the starting and ending quarters differ across properties.
In case you are not familiar with the term "Tobit", the model is essentially the following. The "true" value of the CapEx of property i in quarter t, Y*[i,t], is determined by a property fixed effect (dummy) a[i], explanatory variables x[I,t], and an error: Y*[i,t]=a[i]+b*X[i,t]+u[i,t]. Further, the observed CapEx, Y[i,t], equals Y*[i,t] if Y[i,t]>0 and equals 0 otherwise. Now I observe Y[i,t] and X[i,t], and the purpose of this analysis is to estimate coefficients b. Thanks for any suggestions! Regards, Liang Peng ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
