I am interested in utilizing this so called "double hurdle" model in my study. We can write the model in the following way: if (z'a + u > 0 & x'b + e > 0) y = x'b + e, else y = 0 In the model, consumption y is the (left-) censored dependent variable. e and u are the normally distributed error terms. z'a is the participation equation and x'b is the expenditure equation. If we would remove the participation equation from the model we would end up with a type I tobit-model. In the tobit-model the same set of paprameters and variables determine both the discrete probability of non-zero outcome and the level of positive expenditure. In the double-hurdle-model we have separate parametrization of the participation and consumption decisions. I can estimate tobit-model using function survreg(). But what about this double hurdle thing? Has somebody written a R-function for estimating this sort of a model? Best regards, Ky??sti Kurikka
Double hurdle model in R
2 messages · Kyosti H Kurikka, Simon Blomberg
http://pscl.stanford.edu/content.html has code for poisson and negative binomial hurdle models, as well as for zip models. Package zicounts on CRAN may also be of interest. HTH, Simon.
I am interested in utilizing this so called "double hurdle" model in my study. We can write the model in the following way: if (z'a + u > 0 & x'b + e > 0) y = x'b + e, else y = 0 In the model, consumption y is the (left-) censored dependent variable. e and u are the normally distributed error terms. z'a is the participation equation and x'b is the expenditure equation. If we would remove the participation equation from the model we would end up with a type I tobit-model. In the tobit-model the same set of paprameters and variables determine both the discrete probability of non-zero outcome and the level of positive expenditure. In the double-hurdle-model we have separate parametrization of the participation and consumption decisions. I can estimate tobit-model using function survreg(). But what about this double hurdle thing? Has somebody written a R-function for estimating this sort of a model? Best regards, Ky??sti Kurikka
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Simon Blomberg, B.Sc.(Hons.), Ph.D, M.App.Stat. Visiting Fellow School of Botany & Zoology The Australian National University Canberra ACT 0200 Australia T: +61 2 6125 8057 email: Simon.Blomberg at anu.edu.au F: +61 2 6125 5573 CRICOS Provider # 00120C