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st: variance and covariance in estimation using cmp


From   Zhi Su <su.zh@husky.neu.edu>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: variance and covariance in estimation using cmp
Date   Fri, 26 Aug 2011 15:56:37 -0400

Dear Statalists,
I want to use command "cmp" to simultineously estimate four equations
that two are probit models and two are linear models. It is assumed
that the errors share a multivariate normal distribution. Do "cmp"
save the variance-covariance matrix in any e( )?
Or does it works like "mvprobit" that save the estimate of correlation
ji in the variance-covariance matrix of cross-equation error terms in
e(rhoji)?
Thanks!


-- 
Zhi Su
348 Holmes Hall
Northeastern University
360 Huntington Avenue
Boston, MA 02115
Office:1-617-373-2316
email:su.zh@husky.neu.edu
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