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SCLS: Stata module to perform symmetrically censored least squares

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Author Info

  • J.M.C. Santos Silva

    ()
    (University of Essex)

Abstract

scls implements Powell's (Powell, J. L., 1986, Symmetrically Trimmed Least Squares Estimation for Tobit Models, Econometrica, 54, 1235-1460) symmetrically censored least squares estimator and reports standard errors and t-statistics that are asymptotically valid under heteroskedasticity. The robust covariance matrix is computed following Powell (1986). Additionally, scls reports the value of the objective function, the size of the sample and the number of observations effectively used. Two optimization algorithms are available and it is also possible to choose how the starting values are computed.

Download Info

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File URL: http://fmwww.bc.edu/repec/bocode/s/scls.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/s/scls.sthlp
File Function: help file
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S457402.

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Programming language: Stata
Requires: Stata version 10
Date of creation: 26 Jan 2012
Date of revision:
Handle: RePEc:boc:bocode:s457402

Note: This module should be installed from within Stata by typing "ssc install scls". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: symmetrically censored least squares; tobit; heteroskedasticity;

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