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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)

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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Bibliographic 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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Web page: http://www.stata.com/meeting/5german
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Cited by:
  1. 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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