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st: Censored ... Heteroskedastic regression


From   "Fabrice" <fcaspam@yahoo.fr>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Censored ... Heteroskedastic regression
Date   Fri, 21 Dec 2007 09:57:22 +0100

Dear colleagues,

I am trying to estimate an effect on variability of a dependent variable
that happens to be censored.

Normally, without censoring, I use a simple Maximum Likelihood Estimation,
modeling in Stata the residual as I see fit. For instance, I can
parameterize a simple linear effect both on mean and variance by:
ml model lf mynormal1_lf (mu: Y=X) (sigma: X)

For censoring, if I were to just seek the main effect, I would use a normal
tobit.

QUESTION: would anyone have a suggestion how to estimate (in Stata!) effect
on dependent variable variance in the case of censored DV?

Obviously, I could write my own likelihood function, but do not feel
confident enough to do so yet (and maybe that is already done somewhere).

Thanks a lot for any practical suggestion,

Fabrice Cavarretta
--------------------
OB Dept
INSEAD


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