Dear colleagues,
I am trying to estimate an effect on variability of a dependent variable
that happens to be censored.
Normally, without censoring, I use a simple Maximum Likelihood Estimation,
modeling in Stata the residual as I see fit. For instance, I can
parameterize a simple linear effect both on mean and variance by:
ml model lf mynormal1_lf (mu: Y=X) (sigma: X)
For censoring, if I were to just seek the main effect, I would use a normal
tobit.
QUESTION: would anyone have a suggestion how to estimate (in Stata!) effect
on dependent variable variance in the case of censored DV?
Obviously, I could write my own likelihood function, but do not feel
confident enough to do so yet (and maybe that is already done somewhere).
Thanks a lot for any practical suggestion,
Fabrice Cavarretta
--------------------
OB Dept
INSEAD
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