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st: panel CLAD and CLAD predictions

From   "Carlo Fezzi" <>
To   <>
Subject   st: panel CLAD and CLAD predictions
Date   Tue, 3 Feb 2009 18:44:50 -0000

Dear stata-listers,

I have a large panel data of censored observations in which residuals
heteroskedasticity is an issue. I have three questions:

1) Is the CLAD estimator the right choice for panel data? In a recent post: it is explained
that CLAD is not consistent for the fixed effect (FC). However, I have no
interest in the FC coefficients and I simply would like to pool the data
together. Could CLAD be a solution in this case?

2) Which is the right procedure to obtain prediction and
confidence/prediction intervals? Presumably, since CLAD do not assume any
distribution for the error term, a bootstrap procedure might be necessary.
Can anybody shed some light on this?

3) Is there any multivariate version of CLAD? Or has anybody come across a
solution proposed in the literature for multivariate censored models, robust
to heteroskedasticity and non-normality? 

Thank you very much in advance for your help,


Carlo Fezzi
Senior Research Associate
Centre for Social Research on the Global Environment (CSERGE)
Department of Environmental Sciences
University of East Anglia
Norwich (UK) NR2 7TJ 
Telephone: +44(0)1603 591385
Fax: +44(0)1603 593739

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