Estimating double-hurdle models with dependent errors and heteroskedasticity

Julian A. Fennema () and Mathias Sinning ()
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Julian A. Fennema: Heriot-Watt University, Edinburgh

German Stata Users' Group Meetings 2007 from Stata Users Group

Abstract: 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.

Date: 2007-04-11
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Persistent link: https://EconPapers.repec.org/RePEc:boc:dsug07:05

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