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RE: st: Re: Cragg-type double hurdle model


From   "Fennema, Julian " <J.A.Fennema@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Re: Cragg-type double hurdle model
Date   Tue, 11 Apr 2006 18:51:59 +0100

Dear all,

I've been in touch off-list with Irina, but just in case anyone else is
interested after this discussion, you can download the code to estimate
the Cragg model, and the later extension with dependent errors (Jones),
from 

http://www.sml.hw.ac.uk/somjaf/Stata/

The help-files, predict command and other extensions are in the
pipeline, but making progress, albeit slow.

Many thanks,

Julian 




Dr. Julian A. Fennema
Department of Accountancy and Finance
Heriot-Watt University
Riccarton, Edinburgh
EH14 4AS
U.K.

Tel: +44 (0)131 451 3492
Fax: +44 (0)131 451 3296

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Rodrigo A.
Alfaro
Sent: 11 April 2006 18:47
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: Re: Cragg-type double hurdle model

Ok, I checked the paper. It seems to me that the goal is to estimate
some 
maximum likelihood problems. 3+4 looks like probit (use probit), 5+6 I
don't 
know but it is close to probit model, then you can estimate it by -ml-.
Take 
a look of the reference manual there is a program to estimate probit 
(example 1 I guess), you have to change a little bit that code. 7+9 and
7+10 
look like seleccion problems... but for sure you can write the
likelihood 
and estimate by -ml- as well. There is a book for MLE estimation in
Stata, 
which is very good source if you have to modify the Cragg's estimator 
further than the paper.  Good luck, Rodrigo.


----- Original Message ----- 
From: "Stephen Johnston" <sjohns21@umbc.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, April 11, 2006 12:02 PM
Subject: Re: st: Re: Cragg-type double hurdle model


> Perhaps I should not have sent out the pdf.  The reference to the
Cragg 
> article Irina is referring to is:
>
> Cragg, J. G. (1971). Some Statistical Models for Limited Dependent 
> Variables with
> Applications to the Demand for Durable Goods. Econometrica, 39(5), 
> 829-844.
>
> On Apr 11, 2006, at 11:48 AM, Stephen Johnston wrote:
>
>> Hello All,
>>
>> I think this is the original paper that Irina was referring to.
>>
>> <Cragg.pdf>
>>
>> On Apr 11, 2006, at 11:00 AM, Rodrigo A. Alfaro wrote:
>>
>>> Dear Irina, the people in statalist come form multiple discipline.
If 
>>> you give us any reference to that model, you could receive  answers.
For 
>>> example, is there other name for that model? is a  particular model 
>>> which has a general form? Best, Rodrigo.
>>>
>>>
>>>
>>> ----- Original Message ----- From: "Irina Kovrova" <koviv@eu.spb.ru>
>>> To: <statalist@hsphsun2.harvard.edu>
>>> Sent: Tuesday, April 11, 2006 3:46 AM
>>> Subject: st: Cragg-type double hurdle model
>>>
>>>
>>>> Dear Sirs,
>>>>
>>>> I am a PhD student at Turin university.
>>>>
>>>> I am looking for Stata code for estimation of a Cragg-type double 
>>>> hurdle
>>>> model.
>>>> Could you help me to find this code?
>>>>
>>>> Thank you in advance.
>>>>
>>>> Best regards,
>>>> Irina Kovrova.
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>>
>
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