On 23 November 2010 23:32, Achim Zeileis <achim.zeil...@uibk.ac.at> wrote: > 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".
Yes, the censReg function/package can estimate random effects tobit models with balanced and unbalanced panel data. However, the estimation with *unbalanced* panel data has not been thoroughly tested yet. If you experience any problems, please report them via the "tracker" of the "sampleSelection" project on R-Forge [1]. Thanks! [1] https://r-forge.r-project.org/tracker/?group_id=256 Best regards, Arne -- Arne Henningsen http://www.arne-henningsen.name ______________________________________________ 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.
