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

Christoph Engel, Peter Moffatt

Research output: Contribution to journalArticlepeer-review

24 Citations (Scopus)

Abstract

The dhreg command implements maximum likelihood estimation of the double hurdle model for continuously distributed outcomes. The command includes the option to estimate a p-Tobit model, i.e. a model that only estimates an intercept for the hurdle equation. The bootdhreg command (i.e. 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, although 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.
Original languageEnglish
Pages (from-to)778-797
Number of pages20
JournalThe Stata Journal
Volume14
Issue number4
Publication statusPublished - 2014

Keywords

  • double hurdle model
  • random effects double hurdle model
  • bootstrapping

Cite this