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

Author

Listed:
  • Christoph Engel

    (Max Planck Institute for Research on Collective Goods)

  • Peter G. Moffatt

    (University of East Anglia)

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. Copyright 2014 by StataCorp LP.

Suggested Citation

  • Christoph Engel & Peter G. Moffatt, 2014. "dhreg, xtdhreg, and bootdhreg: Commands to implement double-hurdle regression," Stata Journal, StataCorp LP, vol. 14(4), pages 778-797, December.
    • Handle: RePEc:tsj:stataj:v:14:y:2014:i:4:p:778-797
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