I have used -ml- frequently in the past, but never with a problem
like this. Unfortunately, -_oprobit- and -_ologit- (the underlying
commands which implement -oprobit- and -ologit-) are built-in, so I
can't see how they handle this issue. My first instinct would be to
construct an -ml model- statement programmatically based on the data
and then execute it. Is this a reasonable approach, and are there
any practical limits to the number of ancillary parameters (i.e.,
equations) that can be specified this way?
Not that it is a model of programming excellence, but you might take
a look at -oglm-, which will estimate the ologit and oprobit models
as well as others. Those models are also a special case of the
models estimated by -gologit2-. Much of the code for those programs
has to do with options, error-checking, etc.; but hopefully you could
wade through and find the parts that are relevant for what you want. Rich
