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Re: st: symmetrically trimmed least squares


From   Partha Deb <partha.deb@hunter.cuny.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: symmetrically trimmed least squares
Date   Fri, 05 Jun 2009 11:22:32 -0400

Matt,

Ken Chay has code for a bunch of different semiparametric estimators for Tobit models, including SCLS. A zip file is at http://www.econ.berkeley.edu/~kenchay/ftp/binresp/programs/all.zip linked from his page at http://www.econ.berkeley.edu/~kenchay/ .

Although I'm guessing Matt knows this already, a nice description of alternative estimators is in

Semiparametric Censored Regression Models, with James Powell, Journal of Economic Perspectives, Fall 2001, 29-42.

Cheers,

Partha


Matthew Neidell wrote:
Has anyone developed code for symmetrically trimmed least squares? I've been using CLAD, but it's a large data set with lots of regressors/dummy variables and is taking very long, so I'd like to try least squares.

Thanks,
Matt
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--
Partha Deb
Professor of Economics
Hunter College
ph:  (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/

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