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SCLS: Stata module to perform symmetrically censored least squares

Author

Listed:
  • J.M.C. Santos Silva

    (University of Essex)

Programming Language

Stata

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.

Suggested Citation

  • J.M.C. Santos Silva, 2012. "SCLS: Stata module to perform symmetrically censored least squares," Statistical Software Components S457402, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s457402
    Note: This module should be installed from within Stata by typing "ssc install scls". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    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
    Download Restriction: no
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