On Tue, 23 Nov 2010, Liang Peng wrote:
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!
I think that the "censReg" package might be worth exploring, see
http://CRAN.R-project.org/package=censReg
I haven't looked at the package in detail yet, but it says that it is
concerned with "estimation of censored regression (Tobit) models with
cross-section and panel data".
hth,
Z
Regards,
Liang Peng
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