[Limdep Nlogit List] double hurdle again
Brett Smith
Brett.Smith at uwa.edu.au
Tue Jun 8 13:05:17 EST 2010
Dear List,
I asked a question about the double hurdle model a week or so ago. The
reason being that it is unlikely (fails likelihood test) that the
restrictions of the Tobit regression apply to the data.
After fishing though the manuals I cannot see how to run a double hurdle
model in limdep. I am sure it is obvious...but just not seeing it. I have
added some code below which is using the minimize function (based on Jones
1992).
I would like to ask the group if this is the correct (only, easiest) way to
estimate the double hurdle.
Thank you again,
Brett
CREATE;ZERO = 0$
NAMELIST ;ProbReg = Z, ZERO, ZERO....? Repeat zero for the number of
vars in X
;TrunReg = ZERO....,X,ZERO$ ? repeat zero for the number of
vars in Z, and one for SE in truncated regression
?run probit and censored regresseion for start values
Probit; LHS= Travel; Rhs=Z$
Matrix; Bprob=b$? save probit parameters
Trunc; Lhs=y; Rhs=X$
Matrix; btrunc=b$?
Matrix; bstart= bprob,_btrunc $ ? can't remember syntax but combine the two
vectors
?Double hurdle model
MINIMIZE ;START= bstart
;LABELS = B1 ,B2, B3, .... ,SE
;FCN = - (1 - Travel)*LOG( 1 - PHI(b1'ProbReg)*PHI(
(b1'TruncReg)/SE) )) ?log likelihood for travel
- Travel*(LOG(PHI(b1'ProbReg)) + LOG(NOl((Y -
(b1'TruncReg)/SE)))/SE)$ ? Log likelihood for observations greater than
zero
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