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Re: st: cmp and Vuong test

From   Nick Cox <>
Subject   Re: st: cmp and Vuong test
Date   Fri, 2 Nov 2012 11:21:30 +0000

As Arne implies, the version of -cmp- in the Stata Journal files
doesn't include this functionality, but that on SSC does.

Note that this underlines the importance of the long-standing request
to explain _where_ you got user-written software. If you ignore that,
you are likely to waste the time of others in puzzling out what your
precise difficulty is, and you waste your own time too because your
problem is solved more slowly, if at all.

"Chris Rh" was reminded of this privately, but is still ignoring the advice.

"Chris Rh" was also reminded privately of our practice of using full
real names, but is still ignoring that request too.


On Fri, Nov 2, 2012 at 10:01 AM, Arne Risa Hole <> wrote:

> Do you have the most recent version of -cmp-? Update the command (ssc
> install cmp, replace) and try again.

On 2 November 2012 08:37, Chris Rh <> wrote:

>> David, thanks for the advice.
>> Unfortunately,  Stata keeps telling me that "option lnl not allowed"
>> although our model seems pretty standard:
>> cmp (RISK: risk= X1 X2 X3 Z1 Z2) (WTP: low_bid high_bid = X1 X2 X3),
>> ind($cmp_oprobit $cmp_int)
>> This is all the more puzzling because I can estimate the scores (predict
>> XXX, score), thus the likelihood must be stored somewhere. Also, I shall
>> mention that you don't list lnl as a valid option for predict in the --cmp
>> help file. Can you give me any other hint how to retrieve the
>> observation-level ll?

Am 02.11.2012 04:15, schrieb David Roodman (

>>> You need the observation-level log likelihoods? You can get them
>>> post-estimation by typing "predict XXX, lnl" where XXX is the name of a new
>>> variable.

"Chris Rh"

>>> we have fitted a limited dependent variable model using David Roodman's
>>> cmp command and want to do a Vuong test (Vuong, Ectrica 1989) for model
>>> selection. Is there a way to save the individual likelihoods when running
>>> cmp models? If not how can we extract the individual likelihoods?
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