Hi!
I am trying to use an method by Hayes and Levine (2000) to adjust analysts' consensus forecasts for selection bias (full reference below, more relevant pages are 66, 67, 68, 71 & 72).
Here is the background/abstract of their study:
"Many recent empirical studies have concluded that analysts' earnings forecasts are optimistic on average. In this paper, we attempt to undo the effect of one potential source of optimistic bias in analysts' earnings forecasts. Assuming forecasts come from a truncated normal distribution, we estimate the "true" population mean using maximum likelihood." pg.61
The closest I came to something about a truncated normal distribution while searching on Stata is truncreg. I've also looked at the book Maximum Likelihood Estimation with Stata, 3rd Edition by William Gould, Jeffrey Pitblado, and Brian Poi (2006) but struggle to find a generic example that I could modify.
Is there a command (or method) on Stata that can construct maximum likelihood estimates of a partially truncated normal distribution?
Thanks for your help!
Iliyas
Reference:
Hayes, R. M., & Levine, C. B. (2000). An approach to adjusting analysts’ consensus forecasts for selection bias. Contemporary Accounting Research, 17(1), 61-83.
Link to article - http://onlinelibrary.wiley.com/doi/1...911.x/abstract
I am trying to use an method by Hayes and Levine (2000) to adjust analysts' consensus forecasts for selection bias (full reference below, more relevant pages are 66, 67, 68, 71 & 72).
Here is the background/abstract of their study:
"Many recent empirical studies have concluded that analysts' earnings forecasts are optimistic on average. In this paper, we attempt to undo the effect of one potential source of optimistic bias in analysts' earnings forecasts. Assuming forecasts come from a truncated normal distribution, we estimate the "true" population mean using maximum likelihood." pg.61
The closest I came to something about a truncated normal distribution while searching on Stata is truncreg. I've also looked at the book Maximum Likelihood Estimation with Stata, 3rd Edition by William Gould, Jeffrey Pitblado, and Brian Poi (2006) but struggle to find a generic example that I could modify.
Is there a command (or method) on Stata that can construct maximum likelihood estimates of a partially truncated normal distribution?
Thanks for your help!
Iliyas
Reference:
Hayes, R. M., & Levine, C. B. (2000). An approach to adjusting analysts’ consensus forecasts for selection bias. Contemporary Accounting Research, 17(1), 61-83.
Link to article - http://onlinelibrary.wiley.com/doi/1...911.x/abstract
