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Re: st: double hurdle model with Fractional logit second stage estimation


From   Federico Belotti <f.belotti@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: double hurdle model with Fractional logit second stage estimation
Date   Mon, 6 May 2013 16:40:05 +0200

Dear Beatrice,

if my understanding of your problem is correct, you can solve your issue by directly specifying as depvar your continuous variable. -tpm- will automatically generate (for the first part regression) a dummy equal to 1 when the continuous variable is greater than 0. My suggestion is to normalize your continuous variable in order to get a depvar that is bounded between 0 and 1.

HTH,
Federico


On May 6, 2013, at 4:08 PM, Beatrice Muriithi wrote:

> Thank you Jeph,
> I have installed tpm and tried to execute the model. Unfortunately tpm requires that the dependent variables for both parts are the same (error:"The dependent variable must be the same in both equations" r(110)). In my case, the dependent variable are different, the first stage has a discrete variable (0,1) and the second part has continuous variable but include 0 and 100 (proportion). I will appreciate any further insights.
> Regards
> Beatrice
> 
> 
> On Mon, 06 May 2013 09:10:31 -0400
> Jeph Herrin <stata@spandrel.net> wrote:
>> Look at
>>   ssc describe tpm
>> hth,
>> Jeph
>> On 5/6/2013 7:29 AM, Beatrice Muriithi wrote:
>>> Hey,
>>> 
>>> I have case of sample selection for which i would wish to use double hurdle model. The dependent variable for the first
>>> stage is a discrete variable therefore i can use Probit model. The dependent variable for the second stage is fractional
>>> response variable (contains 0-100  - percent). Is it ok if i use GLM (applied mainly for fractional response variable
>>> problem) in the second stage? and if yes, is there a do program that can assist me in this procedure to get the correct
>>> standard errors accounting for the first stage estimation?
>>> 
>>> Thank you
>>> Muriithi
>>> Universität Bonn
>>> 
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> 
> Beatrice wambui Muriithi
> Junior Researcher,
> Centre for Development Research, ZEF; Universität Bonn
> Walter-Flex-Street 3,
> 53113,Bonn
> Germany
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-- 
Federico Belotti, PhD
Research Fellow
Centre for Economics and International Studies
University of Rome Tor Vergata
tel/fax: +39 06 7259 5627
e-mail: federico.belotti@uniroma2.it
web: http://www.econometrics.it


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