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From | "Bromiley, Philip" <bromiley@uci.edu> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | st: cmp and condition numbers |
Date | Mon, 30 Apr 2012 23:30:28 +0000 |
I'm trying to estimate a simultaneous system with three continuous and one discrete variable using cmp. I have been unable to get it to estimate properly - lots of not concave and backed up messages and then it crashes saying it has hit a discontinuous or flat region. Cmp warns me that I have an ill-conditioned regressor matrix and reports high condition numbers for each of the equations (40 to 1000). However, when I run the equation with regress, I don't get high VIF's, and get a much lower condition number. Would someone know the reason for such a discrepancy? Any suggestions would be welcome. Phil Here is a simple example to illustrate the condition number difference. webuse laborsup, clear cmp setup replace fem_inc = fem_inc - 10 cmp (kids = fem_inc male_educ) (fem_work = male_educ), ind($cmp_cont $cmp_cont) *to increase the correlation among the x's, I add a random number to all of them g x1=rnormal() * 100 g fem_inc1=fem_inc + x1 g male_educ1=male_educ + x1 g fem_work1=fem_work + x1 cmp (kids = fem_inc1 male_educ1) (fem_work1 = male_educ1), ind($cmp_cont $cmp_cont) reg kids fem_inc1 male_educ1 estat vif cndnmb3 fem_inc1 male_educ1 reg kids fem_inc male_educ estat vif cndnmb3 fem_inc male_educ Philip Bromiley Dean's Professor of Strategic Management Merage School of Business University of California, Irvine Irvine, CA 92697-3125 (949) 824-6657 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/