Re: st: "cmp" command and rho LR test statistic for SUR bivariate probit model

[David Quinn <dxquinnx@gmail.com>]

Maarten,

Thanks so much for the assistance and insight on this, it has been very helpful.

I have three quick follow-up questions, using the example that you
applied to -cmp- in your message to me.  I just want to make sure I'm
understanding/interpreting the process correctly.

1.) The first question is in regards to the command: -constraint 1
[atanhrho_12]_cons = `=atanh(0)'-.  When you run -cmp-, it reports the
value of atanhrho_12 as -.0886333 (and this is the Fisher's z
transformed correlation), and the value of rho_12 as -.088402.  So,
what you are doing with the -constraint- command is telling to STATA
to set atanhrho_12 to a specific value when running the model?  If so,
does the value "0" that is in parentheses in your example represent
the value of rho_12 (i.e., -.088402)?  Am I understanding that
correctly?

2.) The second question is in regards to the command: -est store a-
and -est store b-. What exactly are these doing?  I think this is
where I'm getting a bit confused.

3.) To answer the third question, perhaps I first need to understand
what is going on with the second question.  But regardless, I'm not
clear exactly what the likelihood-ratio test at the end is testing.
What are you comparing with "a" and "b"?

Sorry if I am a bit confused, particularly with regard to the last two
questions.  I think I understand everything else, though.

Any insight you have would be deeply appreciated.

Thanks,,
--David

On Mon, Feb 28, 2011 at 3:21 AM, Maarten buis <maartenbuis@yahoo.co.uk> wrote:
> --- On Mon, 28/2/11, David Quinn wrote:
>> Is there any way to compute the likelihood-ratio chi-square
>> test statistic regarding correlation of error coefficients
>> (i.e., that rho=0) when using David Roodman's "conditional
>> mixed process" (aka "cmp") module to estimate a seemingly
>> unrelated bivariate probit model?
>
> Yes, I just wrote a Stata tip for that, which will appear in
> the Stata Journal 11(2). A pre-publication draft can be seen
> here: <http://www.maartenbuis.nl/publications/sigma_rho.html>.
>
> Below is an example that applies the general idea of that tip
> to -cmp- (which I got from SSC by typing in Stata
> -ssc install cmp, replace- and -ssc install ghk2, replace-.)
>
> *------------- begin example -----------
> cmp setup
> webuse laborsup, clear
> replace fem_inc = fem_inc - 10
> cmp (kids = fem_inc male_educ) ///
>    (fem_work = male_educ),    ///
>    ind($cmp_cont $cmp_cont)   ///
>    quietly
> est store a
>
> constraint 1 [atanhrho_12]_cons = `=atanh(0)'
> cmp (kids = fem_inc male_educ) ///
>    (fem_work = male_educ),    ///
>    ind($cmp_cont $cmp_cont)   ///
>    quietly constraint(1)
> est store b
>
> lrtest a b
> *------------- end example -----------------
> (For more on examples I sent to the Statalist see:
> http://www.maartenbuis.nl/example_faq )
>
> Hope this helps,
> Maarten
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
> http://www.maartenbuis.nl
> --------------------------
>
>
>
>
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