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