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st: [CMP]: Multinomial probit with Heckman selection

From   "Giacomo Zanello" <[email protected]>
To   <[email protected]>
Subject   st: [CMP]: Multinomial probit with Heckman selection
Date   Mon, 8 Nov 2010 11:52:18 -0000

Dear all,
I am estimating a multinomial probit with Heckman selection - at the first stage a probit followed by a multinomial probit. CMP (which can be obtained from -ssc-) seems not to be able to estimate the model. Whatever independent variable is used, the probit model is always collinear with one of the individual models estimated as starting point for the full model fit. Can anyone suggest a way to overcome this problem?

Following the example in the help file, this is the code I am using:

webuse sysdsn3, clear
cmp setup
constraint 1 [atanhrho_23]_cons
constraint 2 [lnsig_3]_cons
cmp (insure = age male nonwhite)(site3 = age male nonwhite  ppd0),  ///
nolr ind(site3*$cmp_mprobit $cmp_probit) constraint(1 2) structural tech(dfp) qui

Thank you very much.
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