Julian A. Fennema () (Centre for Economic Reform and Transformation, Heriot-Watt University)
Abstract
This paper introduces the dhurdle command for Stata, a maximum-likelihood routine ( d2) to estimate the Cragg double hurdle model with either independent or dependent errors. We give a brief description of the procedure and its application to durable goods consumption and market participation models. We briefly demonstrate the construction of the program, and present evidence of its consistency. We compare its efficiency to the results reported by Flood and Grasjo for the routine programmed in Gauss, and repeat their tests of the effect of misspecification on the parameter estimates. We also outline extensions in the pipeline, particularly the inverse hyperbolic sine heteroskedasticity correction, but also invite suggestions.
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