Hi, I am going to program (what is called) the “friction model” in economics and statistics. This model can be used for analysing the government intervention. It looks like tobit but different. I can not deal with this model by any R library. This model assume that government intervenes in the market only when a certain condition is fulfilled.
For example, INT is the amount of government intervention in the market. The equation to be estimated is: (1) *INT = a + b*X +e* where INT indicates (actual) intervention amount and X is control variable. Let INT* denote the desirable intervention amount – this is the same as the right hand side of equation (1) excluding error terms. Then the acutal value, i.e., INT, have a differnt value depending on whether INT* reach the threshold. That is, government is assumed to intervene only when INT* is larger than the upper positive threshold(p>0) or less than the lower negative threshold(n<0). That is, there are 3 cases. (2) INT = INT* - p + e if INT*>p : intervention INT= 0 if n<=INT*<=p no intervention INT= INT* + n +e if INT*<n : intervention The parameters(a,b, p, n) in (1) and (2) can be estimated by maximum likelihood. does anyone knows how to program this model or has complete code of this model ? Many thanks in advance !! Ama [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see 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.