Dear Scott,
thanks a lot for your help. I'll take a look at those papers.
Sincerely,
Tom
> Dear statalist
>
> I am working with the command xttobit but I have a problem of
> heteroskedasticity. I have read that clad is robust to
> heteroscedasticity and is consistent and asymptotically
> normal for a wide class of error distributions. I would like to do
> something like that with panel data.
>
> As far as I know there is no "xtclad" command. Has someone a
> solution?
>
> Thank you very much in advance to all.
>
> Tom
>
At least for fixed effects, CLAD is not consistent. Honore (1992, "Trimmed LAD and Least Squares Estimation of Truncated and
Censored Regression Models with Fixed Effects." Econometrica)
proposed ICLAD (identically censored least absolute deviations) for
censored panel data with fixed effects. To my knowledge, there are
no ICLAD routines available in Stata.
You might want to take a look at Kenneth Chay and James Powell's
"Semiparametric Censored Regression Models" available at:
http://elsa.berkeley.edu/users/kenchay/ftp/binresp/jepfinal.pdf
and published in the Journal of Economic Perspectives, 2001
Hope this helps,
Scott
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