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st: cmp now does ordered probit too


From   "David Roodman (DRoodman@cgdev.org)" <DRoodman@CGDEV.ORG>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: cmp now does ordered probit too
Date   Mon, 31 Mar 2008 09:57:23 -0400

I've upgraded -cmp-. It can now do ordered probit too. Among other
things, this makes it possible to do SUR ordered probit with many
equations (-bioprobit- can do two already) and do instrumented ordered
probit--"IV-oprobit," you might say. I've also added to the -predict-
functionality so that it works better with -mfx- (and -mfx- is
particularly important for interpreting ordered probit results). The
help file includes examples. 

"cmp" stands for "conditional mixed process." -cmp- allows you to
estimate multi-equation models that mix continuous/uncensored/OLS-like,
tobit, probit, and ordered probit equations. To various degrees it
encompasses probit, tobit, ivprobit, ivtobit, biprobit, bitobit,
bioprobit, ivreg, regress, sureg, mvreg, mvprobit... The model can vary
by observation. The estimated model must be "recursive," with one or
more clearly defined stages and such that dependent variables in earlier
stages enter later equations *as observed*. So for example it will only
work for instrumenting an ordered categorical variable in a two-stage IV
regression if that variable enters the second stage as observed--not if
the continuous variable underlying it is believed to be what figures in
the second stage. (Within the limits of its structure, bioprobit *can*
handle such cases.)

Install with "ssc install cmp, replace." Comments welcome.
--David

David Roodman
Research Fellow
1776 Massachusetts Avenue NW
Washington, DC 20036
Center for Global Development
Independent Research and Practical Ideas for Global Prosperity



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