PANTOB

This program implements the estimator described in my paper "Trimmed LAD and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects." (Econometrica, (May, 1992), Vol. 60, No 3, pp. 533-565.). You can download a postscript version of the manual as well as two ZIP-files, orig.zip and prog.zip. This program is written for Gauss for DOS, and it will not work if you use the Windows or UNIX versions of Gauss.

The file orig.zip contains the stuff that is described in the manual.

The file prog.zip contains PANTOB2.F, which is a new (undocumented) version. The directory also contains some supporting routines called by pantob2.f. The difference is that the new version will make no reference to GAUSS's OPTMUM, but will have "built in" versions of a number of various minimizers (of course, you can edit the program to call GAUSS's OPTMUM). The other (more important) difference is that the new versions use a more sensible weighting when there are unbalanced panels. The old version used all pairs of observations, which gave too much weight to observations with many time-periods. This made them inefficient (but still consistent and the asymptotic variance was correct).

Use the new version with care. It is in progress! And send me email, if you are interested in a more reliable version of it later.


Bo Honoré
Revised 5/97.