[R] Tobit model on unbalanced panel

[Achim Zeileis]

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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