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Re st: Chernozhukov and Hong (2002)


From   Sachin Chintawar <schint1@tigers.lsu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re st: Chernozhukov and Hong (2002)
Date   Tue, 11 Aug 2009 09:43:46 -0600

Hi Mr. Steven

I have been working on the same problem since six months. While I did
not find any ado file I am trying to write one of my own. In the
meantime here is some of the things that I have been following that
could help you in your research (All the three are based on a 2 step
estimation method and try to answer the convergence problem)

A few things that you may want to know. Dr. Dean Jolliffe has
contributed to devloping an official CLAD procedure. Please check for
that using
-help clad-
Dr. Ken Chay's ado file. is posted o his webite. Type -help cqr- to
find his work as well has his paper where he uses it.
Another procedure defined by Dr. M. O. Wilhelm who has written a user
defined procedure -CLADTEMP- You can refer to his paper
Wilhelm, Mark Ottoni (2008). Practical Considerations for Choosing
Between Tobit and SCLS or CLAD Estimators for Censored Regression
Models with an Application to Charitable Giving. Oxford Bulletin of
Economics and Statistics 70(4): 559-582.

I hope this helps. I would like to share notes with you f you do find
an available ado file or if mine works perfectly
.
Best of luck with your program

Sachin
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