Estimating double-hurdle models with dependent errors and heteroskedasticity

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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Year of publication:	2007-04-11
Authors:	Fennema, Julian A. ; Sinning, Matthias
Institutions:	Stata User Group

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Extent:	application/pdf
Series:	German Stata Users' Group Meetings 2007.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005103050