Thanks for the cite of my FEDS working paper (Pence, Karen M., "401(k)s and
Household Saving: New Evidence from the Survey of
Consumer Finances," FEDS Working Paper 2002-06, January 2002.
http://www.federalreserve.gov/pubs/feds/2002/200206/200206pap.pdf ).
An updated version, "Estimating the Effect of Tax Incentives on Saving,"
discusses the IHS in much more detail and is available at
http://karen.marginalq.com
For OLS and median regression, you can estimate the optimal theta through
maximum likelihood (under the assumption that the error term is normal for
OLS and LaPlace for median regression). This is discussed both in
Burbidge, Magee and Robb and in my paper. I have written some simple Stata
code that estimates theta for the median regression case. I am willing to
share it (just email me back privately at kpence "at" starpower "dot" net).
- Karen Pence
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