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Re: st: AW: Box-Cox double hurdle


From   Patrick Hitayezu <phitayezu@yahoo.fr>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: AW: Box-Cox double hurdle
Date   Mon, 17 Aug 2009 14:09:21 -0700 (PDT)

Please find the Box-Cox Double-Hurdle's code in the appendix of: Moffatt, P..G "Hurdle models of loan default", Journal of the Operational Research Society 56 (2005), pp. 1063�71

Thx.

Patrick

--- On Mon, 8/17/09, Martin Weiss <martin.weiss1@gmx.de> wrote:

> From: Martin Weiss <martin.weiss1@gmx.de>
> Subject: st: AW: Box-Cox double hurdle
> To: statalist@hsphsun2.harvard.edu
> Date: Monday, August 17, 2009, 11:54 PM
> 
> <>
> 
> 
> " Please help me find the way out of this problem."
> 
> 
> 
> Please help us find your Moffatt (2005)...
> 
> 
> HTH
> Martin
> 
> -----Ursprüngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu]
> Im Auftrag von Patrick
> Hitayezu
> Gesendet: Montag, 17. August 2009 22:50
> An: statalist@hsphsun2.harvard.edu
> Cc: p.moffatt@uea.ac.uk
> Betreff: st: Box-Cox double hurdle
> 
> Dear All,
> 
> I am trying to estimate a Box-Cox Double-Hurdle model using
> the code
> provided by Moffatt (2005). I have set the value of lambda
> at 0.7 and the
> seed at 12678741. I have 17 variables in my model and 514
> observations. The
> dependent variable in my model exhibits a strong positive
> skewness (to
> justify the use of the Box-Cox DH). Tobit and Double-Hurdle
> results (before
> Box-Cox transformation) are running well with some
> significant p-values.
> However, I am encountering problems after Box-Cox
> transformation as follows:
> 
> 1. NONE of the p-values in the Box-Cox tobit is turning out
> to be
> significant and the Prob > chi2 = 1.0000 !?
> 
> 2. The Box-Cox p-tobit is reporting this error:
> 
> initial:       log likelihood
> =     -<inf>  (could not be
> evaluated)
> could not find feasible values
> r(491);
> 
> 2. ALL the p-values in eq1 of the Box-Cox Double Hurdle are
> insignificant
> and the Prob > chi2 = 1.0000 !?
> 
> Please help me find the way out of this problem.
> 
> Regards,
> Patrick
> 
> 
>       
> 
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