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CMP: Stata module to implement conditional (recursive) mixed process estimator

David Roodman ()

Statistical Software Components from Boston College Department of Economics

Abstract: cmp estimates multi-equation, mixed process models, potentially with hierarchical random effects. "Mixed process" means that different equations can have different kinds of dependent variables. The choices are: continuous (like OLS), tobit (left-, right-, or bi-censored), probit, ordered probit or fractional probit. "Conditional" means that the model can vary by observation. An equation can be dropped for observations for which it is not relevant--if, say, a worker retraining program is not offered in a city then the determinants of uptake cannot be modeled there. Or the type of dependent variable can vary by observation. A dependent variable in one equation can appear on the right side of another equation. Such dependencies must have a recursive structure if the dependencies are on censored variables as observed, meaning that they split the equations into stages. If the dependencies are on (latent) linear dependent variables, they can be recursive or simultaneous in structure. So cmp can fit many SUR, simultaneous equation, and IV models. cmp's modeling framework therefore embraces those of the official Stata commands probit, ivprobit, treatreg, biprobit, tetrachoric, oprobit, mprobit, asmprobit, asroprobit, tobit, ivtobit, cnreg, intreg, truncreg, heckman, heckprob, xtreg, xtprobit, xttobit, xtintreg, in principle even regress, sureg, and reg3. It goes beyond them in offering far more flexibility in model construction. The routine runs under Stata 10 or later, faster under Stata 11.2 or later.

Language: Stata
Requires: Stata version 11 and package ghk2 (q.v.)
Keywords: conditional models; mixed process modules; probit; tobit; ivtobit; biprobit; multinomial probit; ordered probit; truncated regression; fractional probit (search for similar items in EconPapers)
Date: 2007-10-16, Revised 2020-05-24
Note: This module should be installed from within Stata by typing "ssc install cmp". The module is made available under terms of the GPL v3 ( Windows users should not attempt to download these files with a web browser.
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