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The Stata Journal
Volume 14 Number 4: pp. 778-797



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

Christoph Engel
Max Planck Institute for Research
on Collective Goods
Bonn, Germany
engel@coll.mpg.de
Peter G. Moffatt
School of Economics
University of East Anglia
Norwich, UK
P.Moffatt@uea.ac.uk
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.
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View all articles with these keywords: dhreg, xtdhreg, bootdhreg, hurdle model, double-hurdle model, random-effects double-hurdle model, tobit, p-tobit, inverse Mills ratio, bootstrapping

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