Stata programs and commands related to my research.

Content:

1. Pantob a program for estimation of panel data censored regression models

2. FHH a program for estimation of discrete time duration models with group-level heterogeneity

3. Two_side a program for estimation of panel data models with two-sided censoring

1. Pantob (version 0.6).

pantob implements the estimators developed in Honoré (1992).

The relevant files are

pantob.ado is the ado-file with the routine.

pantob.shlp is the associated help-file.

lpantob.mlib is the compiled mata-library of routines that actually do the calculations.

pantob1.do gives examples of how to call the routine.

pantob06val.do will execute a simple Monte Carlo experiment meant to validate the routines. The results are here.

These are all contained in pantob.zip. The first three should be places in some appropriate ado-folder. On my computer, it is called c:\ado\personal\.

Date: 8/27/2009; slight revision 9/15/2009

References.

Honoré, Bo E. (1992): "Trimmed Lad and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects," Econometrica, Vol. 60, No. 3, Pages 533-565.

2. FHH (version 0.2).

FHH implements the logit-version of the estimator developed in Frederiksen, Honore and Hu (2007).

The relevant files are

fhh.ado is the ado-file with the routine.
fhh.shlp is the associated help-file.
lfhh.mlib is the compiled mata-library of routines that actually do the calculations.
fhh1.do gives examples of how to call the routine.
A validation program has not yet been developed.

These are all contained in fhh.zip. The first three should be places in some appropriate ado-folder. On my computer, it is called c:\ado\personal\.

Date: 8/27/2009.

References.

Frederiksen, Anders, Bo E. Honoré and Luojia Hu (2007): : "Discrete Time Duration Models with Group-level Heterogeneity" Journal of Econometrics, Vol. 141, No. 2 October 2007.

3. Two_side (version 0.1).

two_side calculates the estimator developed in Alan, Honoré, Hu and Leth-Petersen (2011).

The relevant files are

two_side.ado is the ado-file with the routine.
two_side.shlp is the associated help-file.
ltwo_side.mlib is the compiled mata-library of routines that actually do the calculations.
2side.do gives examples of how to call the routine.
2side_val01.do will execute a simple Monte Carlo experiment meant to validate the routines. The results are here.

These are all contained in two_side.zip. The first three should be places in some appropriate ado-folder. On my computer, it is called c:\ado\personal\.

Date: 08/08/2011.

References.

Alan, Sule, Bo E. Honoré, Luojia Hu and Søren Leth-Pedersen (2011): "Estimation of Panel Data Regression Models with Two-sided Censoring or Truncation"

The routines were developed with support from the National Science Foundation. Please email comments and suggestions to honore@princeton.edu