Estimating double-hurdle models with dependent errors and heteroskedasticity
AbstractThis paper describes the estimation of the parameters of a double-hurdle model in Stata. It is shown that the independent double-hurdle model can be estimated using a combination of existing commands. Likelihood evaluators to be used with Stata’s ml facilities are derived to illustrate how to fit independent and dependent inverse hyperbolic sine double-hurdle models with heteroskedasticity.
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Bibliographic InfoPaper provided by Stata Users Group in its series German Stata Users' Group Meetings 2007 with number 05.
Date of creation: 11 Apr 2007
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-28 (All new papers)
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- Harris, James Michael & Blank, Steven C. & Erickson, Kenneth W. & Hallahan, Charles B., 2010. "Off-farm Income and Investments in Farm Assets: A Double Hurdle Approach," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61531, Agricultural and Applied Economics Association.
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