Hi Steven,
I am not aware of such an ado file, but Chernozhukov and Hong do note that the procedures can be easily implemented in Stata's (and other programs) QR facilities (see pages 874-875):
Chernozhukov, V., & Hong, H. (2002). Three-step censored quantile regression and extramarital affairs. Journal of The American Statistical Association, 97(459), 872-882.
http://www.mit.edu/~vchern/papersChernozhukov%20and%20Hong%20(JASA%202002)%20Three%20Step%20Censored%20Quantile%20Regression.pdf
The only difference is that you use the selected sample for the QR (although I suppose what you wanted a macro for was the selection/classification itself). :)
You may be interested in some more recent work by these authors:
Chernozhukov, V., & Hansen, C. (2008). Instrumental variable quantile regresssion: A robust inference approach. Journal of Econometrics, 142(1), 379-398.
http://faculty.chicagobooth.edu/christian.hansen/research/CH_IQR_Aug2_06.pdf
Hansen offers Matlab software for this analysis upon request. Maybe he can help you with code for what you want to do as well.
Hope this is useful,
Cam
>
>> Date: Sun, 9 Aug 2009 21:06:36 -0400
>> From: [email protected]
>> To: [email protected]
>> Subject: st: Chernozhukov and Hong (2002)
>>
>> Is anyone aware of available ado files for the Chernozhukov and Hong (2002) three step estimator for censored quantile regressions?
>>
>> Thank you in advance.
>>
>> Steven Hanke
>> Department of Accounting & Finance
>> Indiana Purdue University - Fort Wayne
>>
>>
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