help scls-------------------------------------------------------------------------------

Title

scls-- Symmetrically censored least squares estimator

Syntax

sclsdepvar[indepvars] [if] [in] [,scls_options]

optionsDescription -------------------------------------------------------------------------

start(estimator)method used to compute the starting values

powelluse Powell's (1986) original optimization algorithm; the default is Santos Silva's (2001) algorithm

tolerance(#)tolerance for the coefficient vector; default is tolerance(1e-6)

iterate(#)perform a maximum of#iterations; default is iterate(16000)

nologsuppresses the iterations log-------------------------------------------------------------------------

sclsdoes not allowweights.

Description

sclsimplements Powell's (1986) symmetrically censored least squares estimator and reports standard errors and t-statistics that are asymptotically valid under heteroskedasticity. The robust covariance matrix is computed following Powell (1986). Additionally,sclsreports the value of the objective function (see equation 2.10 in Powell, 1986, p. 1439), the size of the sample and the number of observations effectively used. Two optimization algorithms are available. By default, estimation is performed using Santos Silva's (2001) algorithm, but Powell's (1986) original algorithm can be chosen with the optionpowell. It is also possible to choose how the starting values are computed usingstart(estimator).

Options

start(estimator)specifies how the initial values are computed. The following methods are available:

start(ols)specifies that the starting values are obtained by OLS as in Powell (1986).

start(tobit)specifies that the starting values are obtained by Tobit.

start(clad)specifies that the starting values are obtained by performing the first two steps of the Chernozhukov and Hong (2002) estimator for censored median regression.The default is

start(clad)because these starting values are consistent under the maintained assumptions and this method appears to provide faster convergence.

powellspecifies that Powell's (1986) algorithm is used in the optimization. By default, the algorithm proposed by Santos Silva's (2001) is used because it tends to be much faster. Usingpowellcan be useful if convergence cannot be achieved with the default options or as a check (especially useful if censoring is severe).

tolerance(#)specifies the tolerance for the coefficient vector. Convergence is achieved when the change in the coefficient vector is smaller than#.

iterate(#)specifies the maximum number of iterations that is performed; default is iterate(16000).

nologsuppresses the iterations log.

Remarks

sclswas written by J.M.C. Santos Silva and it is not an official Stata command. For further help and support, please contact jmcss@essex.ac.uk. Please notice that this software is provided as is, without warranty of any kind, express or implied, including but not limited to the warranties of merchantability, fitness for a particular purpose and noninfringement. In no event shall the author be liable for any claim, damages or other liability, whether in an action of contract, tort or otherwise, arising from, out of or in connection with the software or the use or other dealings in the software.

Examples--------------------------------------------------------------------------- Setup

. webuse womenwk. replace wage=0 if wage==.SCLS with default options

. scls wage educ age married childrenSCLS using Powell's algorithm

. scls wage educ age married children, pSCLS using Powell's algorithm and Tobit starting values

. scls wage educ age married children, p s(tobit)---------------------------------------------------------------------------

Saved results

sclssaves the following ine():Scalars

e(N)sample sizee(N)number of observations effectively usede(obj_func)value of the objective functione(crit)convergence criterione(rank)number of linearly independent regressorse(iter)number of iterations performede(converged)1if converged;0otherwiseMacros

e(vcetype)Robuste(title)Symmetrically Censored Least Squarese(marginsok)predictions allowed bymarginse(cmd)sclse(predict)program used to implementpredicte(properties)b Ve(depvar)name of dependent variableMatrices

e(b)coefficient vectore(V)variance-covariance matrixFunctions

e(sample)marks estimation sample

ReferencesChernozhukov, V. and Hong, H. (2002), Three-Step Censored Quantile Regression and Extramarital Affairs,

Journal of American StatisticalAssociation, 97, 872-882. Powell, J. L. (1986), Symmetrically Trimmed Least Squares Estimation for Tobit Models,Econometrica, 54, 1235-1460. Santos Silva, J.M.C. (2001), Influence Diagnostics and Estimation Algorithms for Powell's SCLS,Journal of Business and EconomicsStatistics, 19, 55-62.