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st: cmp


From   Anna Manzoni <anna.manzoni@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: cmp
Date   Wed, 7 Nov 2012 14:12:03 -0500

Dear STATA lister,
I am using cmp to estimate a two stage model which has a 4-category
variable as dependent variable in the first stage and another
4-category variable as dependent variable in the second stage.
I read Roodman's article in the Stata Journal , which was very
helpful, but I still do not have clear how to correctly interpret the
output (among other things). So, any references about that would be
appreciated.

First of all, I am currently using mprobit because I cannot find a way
to get it work with mlogit.
So my first question is : 1) Any suggestions about using mlogit in cmp?

My syntax reads something like
cmp(outcomest2= x1 x2 x3 outcomest1) (outcomest1= x4 x1 x2 x3),
ind($cmp_mprobit  $cmp_mprobit)

I am not sure how to interpret the output. In total, I get 8 tables
and I think the first 4 tables refer to the second stage (one for each
category of the dep var), and the following tables to the first stage.
However, I am not sure what's the reference category (the biggest
category?) and how I could specify which category I would like to use
as base (question 2)

3) The third question refers to  the many warnings I get. Does that
have anything to do with the choice of my instruments or is it
unrelated?

4) is there a way to test the validity of the instrument(s) with cmp?
Thank you. Anna Manzoni
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