Dhreg, Xtdhreg, and Bootdhreg: Commands to Implement Double-Hurdle Regression
- 1 December 2014
- journal article
- research article
- Published by SAGE Publications in The Stata Journal: Promoting communications on statistics and Stata
- Vol. 14 (4), 778-797
- https://doi.org/10.1177/1536867x1401400405
Abstract
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.This publication has 15 references indexed in Scilit:
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