Please find the Box-Cox Double-Hurdle's code in the appendix of: Moffatt, P..G "Hurdle models of loan default", Journal of the Operational Research Society 56 (2005), pp. 1063�71
Thx.
Patrick
--- On Mon, 8/17/09, Martin Weiss <[email protected]> wrote:
> From: Martin Weiss <[email protected]>
> Subject: st: AW: Box-Cox double hurdle
> To: [email protected]
> Date: Monday, August 17, 2009, 11:54 PM
>
> <>
>
>
> " Please help me find the way out of this problem."
>
>
>
> Please help us find your Moffatt (2005)...
>
>
> HTH
> Martin
>
> -----Ursprüngliche Nachricht-----
> Von: [email protected]
> [mailto:[email protected]]
> Im Auftrag von Patrick
> Hitayezu
> Gesendet: Montag, 17. August 2009 22:50
> An: [email protected]
> Cc: [email protected]
> Betreff: st: Box-Cox double hurdle
>
> Dear All,
>
> I am trying to estimate a Box-Cox Double-Hurdle model using
> the code
> provided by Moffatt (2005). I have set the value of lambda
> at 0.7 and the
> seed at 12678741. I have 17 variables in my model and 514
> observations. The
> dependent variable in my model exhibits a strong positive
> skewness (to
> justify the use of the Box-Cox DH). Tobit and Double-Hurdle
> results (before
> Box-Cox transformation) are running well with some
> significant p-values.
> However, I am encountering problems after Box-Cox
> transformation as follows:
>
> 1. NONE of the p-values in the Box-Cox tobit is turning out
> to be
> significant and the Prob > chi2 = 1.0000 !?
>
> 2. The Box-Cox p-tobit is reporting this error:
>
> initial: log likelihood
> = -<inf> (could not be
> evaluated)
> could not find feasible values
> r(491);
>
> 2. ALL the p-values in eq1 of the Box-Cox Double Hurdle are
> insignificant
> and the Prob > chi2 = 1.0000 !?
>
> Please help me find the way out of this problem.
>
> Regards,
> Patrick
>
>
>
>
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