topic Re: Double hurdle model in Statistical Procedures

Double hurdle model

Matthewbsommer — Wed, 01 Apr 2020 14:34:27 GMT

I am looking to do a double hurdle model (Cragg). My first step will be a probit, my second step will be an OLS using a log normal dependent variable I have code for various tobits and heckit but cannot find proc qlim for a double hurdle as described above. Thank you for any suggestions.

Re: Double hurdle model

SteveDenham — Wed, 01 Apr 2020 15:17:08 GMT

Take a look at PROC FMM. The Getting Started example shows how to put a mass at zero, which I assume is what the probit part does. It then fits a Poisson to the remaining values. A log-normal distribution could be selected instead. I hope I have not misunderstood your question.

SteveDenham

Re: Double hurdle model

SteveDenham — Wed, 01 Apr 2020 15:20:05 GMT

A quick followup. You will have to use the PROBMODEL statement to get the first hurdle to be a probit, rather than the default logit.

SteveDenham

Re: Double hurdle model

Ksharp — Thu, 02 Apr 2020 12:22:31 GMT

Steve,
Long time no see. Where have you been ?

Re: Double hurdle model

SteveDenham — Thu, 02 Apr 2020 12:41:48 GMT

See my private msg for a long description.