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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 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: -cmp- updates***From:*"Arne Risa Hole" <arnehole@gmail.com>

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