dhreg, xtdhreg, and bootdhreg: Commands to implement double-hurdle regression

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Engel, Christoph and Moffatt, Peter (2014) dhreg, xtdhreg, and bootdhreg: Commands to implement double-hurdle regression. The Stata Journal, 14 (4). pp. 778-797. ISSN 1536-867X

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Abstract

The dhreg command implements maximum likelihood estimation of the double hurdle model for continuously distributed outcomes. The command includes the option to estimate a p-Tobit model, i.e. a model that only estimates an intercept for the hurdle equation. The bootdhreg command (i.e. the bootstrap version of dhreg) may be convenient if the data generating process is more complicated, or if heteroskedasticity is suspected. The xtdhreg command is a random effects version of dhreg, applicable to panel data, although this estimator differs from standard random effects estimators in the sense that the outcome of the first hurdle applies to the complete set of observations for a given subject, instead of applying at the level of individual observations. Command options include estimation of a correlation parameter capturing dependence between the two hurdles.

Item Type: Article
Uncontrolled Keywords: double hurdle model,random effects double hurdle model,bootstrapping
Faculty \ School: Faculty of Social Sciences > School of Economics
UEA Research Groups: Faculty of Social Sciences > Research Groups > Industrial Economics
Faculty of Social Sciences > Research Centres > Centre for Behavioural and Experimental Social Sciences
Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance
Faculty of Social Sciences > Research Groups > Behavioural Economics
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Depositing User: Pure Connector
Date Deposited: 26 Mar 2015 16:48
Last Modified: 17 May 2023 06:31
URI: https://ueaeprints.uea.ac.uk/id/eprint/53012
DOI:

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