Re: [R] Double hurdle model in R

From: Simon Blomberg <Simon.Blomberg_at_anu.edu.au>
Date: Thu 05 May 2005 - 10:34:14 EST

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,
>Kyösti 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@anu.edu.au
F: +61 2 6125 5573

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Received on Thu May 05 10:42:36 2005

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