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RE: st: Implementing Censored Quantile Regression


From   Sachin Chintawar <sachintalks@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: Implementing Censored Quantile Regression
Date   Mon, 11 Aug 2008 02:04:30 -0500

Dear Ben, Scott and all Statausers
Thanks a lot for helping me out on the question of estimation of the
Censored quantile regression. A few notes from my experience and interaction
with Dr. Wilhelm.
1. As I had earlier noted data failed to converge using the -CLAD procedure.
I used the -CLADTEMP procedure that was a modified version of -CLAD used by
Dr. Wilhelm. This handles the problem of convergence much better.

2. I have one question. While the -CLADTEMP procedure does handle the
convergence problem (due to the way convergence criteria is defined) both
these procedures take a long time. The -CLAD procedure with reps(200) took
around 3 hours to give me the result (suggesting that the convergence was
not met) the -CLADTEMP took around 8 hours to give me the bootstrapped
results (same number of reps)
The data that I had used had 12360 observations and 19 variables.

I was wondering if there was a more efficient (in the sense of saving time)
way to run censored regressions.

Thanks in advance
Sachin  

Sachin Chintawar
Research Assistant
Dept. of Agricultural Economics
Louisiana State University
-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Scott Merryman
Sent: Wednesday, August 06, 2008 7:05 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: Implementing Censored Quantile Regression

You might try -clad- published in Stata Technical Bulletin by  Dean
Jolliffe, Bohdan Krushelnytskyy and Anastassia Semykina
(http://www.stata.com/products/stb/journals/stb58.pdf).


You might also find the program in the link below useful:

http://www.stata.com/statalist/archive/2006-09/msg00379.html

Scott



On Tue, Aug 5, 2008 at 4:17 PM, Sachin Chintawar <sachintalks@gmail.com>
wrote:
> Hi Dr. Scott
> I did try using -clad- using the ado file that was provided by Dr. Ken
Chay
> at http://elsa.berkeley.edu/~kenchay/
> But I get a error suggesting that the data does not converge. Is there
> another way we can fit the data better? I was wondering if we change the
> convergence criterion from gradient to some other method. Unfortunately I
am
> not an expert at stata to create ado files and hence was wondering if
> statausers here could help me
> Thanks
> Sincerely
> Sachin
>

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