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st: -cmp- updates


From   "David Roodman (DRoodman@cgdev.org)" <DRoodman@CGDEV.ORG>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: -cmp- updates
Date   Mon, 28 Apr 2008 19:52:34 -0400

I've posted some fixes for bugs in the ordered probit code in -cmp-.
(cmp fits multi-equation mixed process models that can involve
uncensored, tobit, probit, and ordered probit equations. It formally
encompasses many other Stata commands.)

To get the latest version, type "ssc install cmp, replace". Kit Baum
suggests that I remind users to restart Stata after installing or type
"mata mlib index" to put the Mata code changes in effect.

I have also improved the explanation in the help file of how -cmp-
works. But I would be grateful for feedback on how to sharpen the
explanation further. In particular, -cmp- is essentially just an SUR
estimator. An interesting and apparently underappreciated fact--and one
that I have yet to see fully and formally explained--is that SUR
estimators actually work for a larger class of simultaneous equations
models, in which dependent variables from some equations *do* appear on
the rights sides of others. SUR still works for such models if: 1) the
systems are recursive, i.e., the equations can be arranged so that the
matrix of coefficients of endogenous variables in each other's equations
is upper triangular; and 2) the dependent variables enter other
equations *as observed*--unobserved latent variables don't enter
directly.

So, for example, -sureg (X=Y) (Y=Z), isure- usually converges to the
same result as -ivreg X (Y=Z)-. And -biprobit- works for IV models in
which the first- and second-stage dependent variables are both binary.
But you wouldn't know from the Stata documentation that these commands
can do IV. Has anyone seen a thorough discussion of these ideas? 

--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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