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st: mvnp code Cappellari & Jenkins 2006


From   Charlotte Gary <charlottegary83@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: mvnp code Cappellari & Jenkins 2006
Date   Tue, 7 Jul 2009 02:47:55 -0700 (PDT)

Hi all,

Does anyone have tried the code suggested by Cappellari and Jenkins Stata Journal (2006)in paragraph 3.4? (I have reported the code at the end)

I am simply trying to run this code (without changes) but an error message after “ml maximize” impedes to obtain the results that the authors show on p. 170. 

The error message says: ^2 invalid name

I check the code several times but I cannot see the  error. I suspect that there is something that stata doesn’t like here: scalar `cf22' = sqrt( 1 - `c21'^2 )

Thank you!

Charlotte


here is the code: 


set seed 123456789
set obs 5000

matrix R = (1, .25, .5 \ .25, 1, .75 \ .5, .75, 1)
drawnorm u1 u2 u3, corr(R)
correlate u*
gen x1 = uniform()-.5
gen x2 = uniform() + 1/3
gen x3 = 2*uniform() + .5

gen y1s = .5 + 4*x1 + u1
gen y2s = 3 + .5*x1 - 3*x2 + u2
gen y3s = 1 - 2*x1 + .4*x2 -.75*x3 + u3
gen y1 = y1s>0
gen y2 = y2s>0
gen y3 = y3s>0

program define myll
args lnf xb1 xb2 xb3 c21 c31 c32
tempvar sp k1 k2 k3
quietly {
gen double `k1' = 2*$ML_y1 - 1
gen double `k2' = 2*$ML_y2 - 1
gen double `k3' = 2*$ML_y3 - 1
tempname cf21 cf22 cf31 cf32 cf33 C
su `c21', meanonly
scalar `cf21' = r(mean)
su `c31', meanonly
scalar `cf31' = r(mean)
su `c32', meanonly
scalar `cf32' = r(mean)
scalar `cf22' = sqrt( 1 - `c21'^2 )
scalar `cf33' = sqrt( 1 - `c31'^2 - `c32'^2 )
mat `C' = (1, 0, 0 \ `cf21', `cf22', 0 \ `cf31',`cf32', `cf33')
egen `sp'=mvnp(`xb1'`xb2'`xb3'), chol(`C') draws($dr) prefix(z) signs(`k1'`k2'`k3')
replace `lnf'= ln(`sp')
}
end
quietly {
probit y1 x1
mat b1 = e(b)
mat coleq b1 = y1
probit y2 x1 x2
mat b2 = e(b)
mat coleq b2 = y2
probit y3 x1 x2 x3
mat b3 = e(b)
mat coleq b3 = y3
mat b0 = b1, b2, b3
}

mdraws, dr(250) neq(3) prefix(z) random seed(123456789) antithetics replace


global dr = r(n_draws)
ml model lf myll (y1: y1=x1) (y2: y2=x1 x2) (y3: y3 = x1 x2 x3)
ml init b0
ml maximize
nlcom




      


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