help scls 

-------------------------------------------------------------------------------

Title

       scls --  Symmetrically censored least squares estimator


Syntax


        scls depvar [indepvars] [if] [in] [, scls_options]


    options                    Description
    -------------------------------------------------------------------------

      start(estimator)         method used to compute the starting values

      powell                   use 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)

      nolog                    suppresses the iterations log

    -------------------------------------------------------------------------


    scls does not allow weights.


Description

    scls implements 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, scls reports
    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 option powell.
    It is also possible to choose how the starting values are computed using
    start(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.

    powell specifies 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. Using powell can
        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).

    nolog suppresses the iterations log.



Remarks

    scls was 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 children

    SCLS using Powell's algorithm
        . scls wage educ age married children, p

    SCLS using Powell's algorithm and Tobit starting values
        . scls wage educ age married children, p s(tobit)

    ---------------------------------------------------------------------------


Saved results

    scls saves the following in e():

    Scalars   
      e(N)           sample size
      e(N)           number of observations effectively used
      e(obj_func)    value of the objective function
      e(crit)        convergence criterion
      e(rank)        number of linearly independent regressors
      e(iter)        number of iterations performed
      e(converged)   1 if converged; 0 otherwise

    Macros    
      e(vcetype)     Robust
      e(title)       Symmetrically Censored Least Squares
      e(marginsok)   predictions allowed by margins
      e(cmd)         scls
      e(predict)     program used to implement predict
      e(properties)  b V
      e(depvar)      name of dependent variable

    Matrices  
      e(b)           coefficient vector
      e(V)           variance-covariance matrix

    Functions 
      e(sample)      marks estimation sample


References

    Chernozhukov, V. and Hong, H. (2002), Three-Step Censored Quantile
        Regression and Extramarital Affairs, Journal of American Statistical
        Association, 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 Economics
        Statistics, 19, 55-62.