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st: generalized tobit model (a.k.a. double hurdle)


From   "Stephen P. Jenkins" <stephenj@essex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: generalized tobit model (a.k.a. double hurdle)
Date   Fri, 4 Feb 2005 09:38:10 -0000

> Date: Thu, 3 Feb 2005 13:53:23 -0800 (PST)
> From: linthoi angom <linthoi_a@yahoo.com>
> Subject: st: generalized tobit model
> 
> hello,
>  I am trying to estimate a generalized tobit model
> with two equations. The first equation is a probit
> equation which determines whether a firm undertakes
> R&D or not.

You may be seeking what econometricians refer to as a "double hurdle"
model. In which case, ...

Have a look at Julian Fennema's -dhurdle- program, downloadable from

http://www.sml.hw.ac.uk/somjaf/stata.htm


There is also a Stata Journal article by Allen McDowell (which could
have been found using -findit hurdle-):

SJ-3-2  st0040  . . . . . . . . . . . . . . From the help desk:  hurdle
models
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  A.
McDowell
        Q2/03   SJ 3(2):178--184                                 (no
commands)
        demonstrates how the parameters of a hurdle model can be
        estimated in Stata using a combination of existing commands

As far as I can recall, Julian's program is more general than the
methods suggested by Allen -- the key difference being that the former
allows for a non-zero cross-equation correlation. (Correct me if I am
wrong.)


Stephen
-------------------------------------------------------------
Professor Stephen P. Jenkins <stephenj@essex.ac.uk>
Institute for Social and Economic Research
University of Essex, Colchester CO4 3SQ, U.K.
Tel: +44 1206 873374.  Fax: +44 1206 873151.
http://www.iser.essex.ac.uk   

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