This refers to David's program -cmp- on SSC. Use -ssc- to download.
Nick
[email protected]
David Roodman ([email protected])
I've added another model type to -cmp-: truncated regression, as in
-truncreg-. The full list of models is now: classical linear regression;
censored (tobit), probit, ordered probit, multinomial probit, interval
regression, and truncated regression.
-cmp- allows you to mix such models in multi-equation systems. To work,
the systems must be *recursive*, such that equations can be arranged so
that the matrix of coefficients of the LHS variables in each other's
equations is triangular. A model can vary by observation, which makes it
easy to formulate switching regressions and Heckman selection models,
among other things. In effect, -cmp- subsumes, in whole or in part, the
modeling frameworks of probit, ivprobit, biprobit, oprobit, mprobit,
asmprobit, tobit, ivtobit, cnreg, intreg, truncreg, heckman, and
heckprob, as well as the user-written triprobit, mvprobit, bitobit,
mvtobit, oheckman, and bioprobit.
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