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Estimating double-hurdle models with dependent errors and heteroskedasticity

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Author Info
Julian A. Fennema () (Heriot-Watt University, Edinburgh)
Matthias Sinning (RWI Essen)

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Abstract

This 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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File URL: http://fmwww.bc.edu/repec/dsug2007/Fennema.pdf
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Publisher Info
Paper provided by Stata Users Group in its series German Stata Users' Group Meetings 2007 with number 05.

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Date of creation: 11 Apr 2007
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Handle: RePEc:boc:dsug07:05

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