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

• Autores: Christoph Engel, Peter G. Moffatt
• Localización: The Stata journal, ISSN 1536-867X, Vol. 14, Nº. 4, 2014, págs. 778-797
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • The dhreg command implements maximum likelihood estimation of the double-hurdle model for continuously distributed outcomes. The command includes the option to fit a p-tobit model, that is, a model that estimates only an intercept for the hurdle equation. The bootdhreg command (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. However, 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.