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st: "cmp" command and rho LR test statistic for SUR bivariate probit model


From   David Quinn <dxquinnx@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: "cmp" command and rho LR test statistic for SUR bivariate probit model
Date   Sun, 27 Feb 2011 20:39:05 -0500

Hello,

Is there any way to compute the likelihood-ratio chi-square test
statistic regarding correlation of error coefficients (i.e., that
rho=0) when using David Roodman's "conditional mixed process" (aka
"cmp") module to estimate a seemingly unrelated bivariate probit
model?  The "biprobit" command automatically runs and reports the
results of the chi-square test for rho at the end of the output, but I
cannot find a way to run this same test using the "cmp" command.  I'm
using Roodman's "cmp" command because I'm trying to estimate a
recursive seemingly unrelated bivariate probit model (Greene 2003)
where the first equation is a multinomial probit and the second is a
binary probit.

If not, is there a separate command that would allow one to run this
test after estimating the model using "cmp?"

Thanks!
David Quinn
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