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From |
"Arne Risa Hole" <arnehole@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: -cmp- updates |

Date |
Tue, 29 Apr 2008 10:40:49 +0100 |

David, There is some discussion of this issue in the context of bivariate probit models in Greene (2000, p849-56). To quote from the example in the text: "Surprisingly, the endogenous nature of one of the variables on the right-hand side of the first-equation can be ignored in formulating the log-likelihood". He then goes on to show why this is the case. Arne Ref: Greene WH. 2000. Econometric Analysis. 4th edition. > 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/ > * * 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/

**References**:**st: -cmp- updates***From:*"David Roodman (DRoodman@cgdev.org)" <DRoodman@CGDEV.ORG>

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