Fixed-effects interval-data regression model

[Alessandro Bellocchi]

xtintreg fits a random-effects regression model in which the dependent variable may be measured as point data, interval data, left-censored data, or right-censored data. Is there any command or way to fits the same type of model but with fixed-effects?

[Alessandro Bellocchi]

Or more simply imagining I have a two-year panel, how can I set up a first-difference model where the dependent variable is interval (point data, interval data, left-censored data, or right-censored data)? In the latter case using intreg. I could not find any useful information in this regard. I therefore thank anyone who would like to try and answer this question.

[Jeff Wooldridge]

You can’t really use first differencing and you shouldn’t include unit fixed effects because of the incidental parameters problem. A correlated random effects approach can be used by including the time averages and using intreg. Then cluster the standard errors.