Double hurdle model

[Matthewbsommer]

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.

[SteveDenham]

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

[SteveDenham]

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

[Ksharp]

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

[SteveDenham]

See my private msg for a long description.