You might want to try -clad- which allows heteroskedastic errors.
Scott
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of marco stampini
> Sent: Wednesday, November 22, 2006 8:38 AM
> To: [email protected]
> Subject: st: tobit with autocorrelated and heteroscedastic disturbances
>
> Hello.
>
> I would need to estimate jointly two tobit equations, in which errors are
> both autocorrelated and heteroscedastic.
> Does anybody have any idea on how to solve at least part of the problem?
>
> For example, how to take care of autocorrelation and heteroscedasticity in
> each of the two tobits?
> As a second step, if possible, how to estimate jointly?
>
> Are you aware of any routine doing anything similar?
>
> Thank you very much in advance,
> Marco Stampini
>
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