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

Author

Listed:
  • David Roodman

Programming Language

Stata

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.

Suggested Citation

  • David Roodman, 2007. "CMP: Stata module to implement conditional (recursive) mixed process estimator," Statistical Software Components S456882, Boston College Department of Economics, revised 18 Apr 2024.
  • Handle: RePEc:boc:bocode:s456882
    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 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cmp.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cmp_p.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cmp.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cmp.mata
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/l/lcmp.mlib
    File Function: Mata object library
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cmp_clear.ado
    File Function: program code
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    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Ich bin ein Über-Geek
      by David Roodman in David Roodman's Microfinance Open Book Blog on 2012-12-19 02:19:11
    2. Now You Too Can Fit Fully Observed Recursive Mixed-process Models!
      by David Roodman in David Roodman's Microfinance Open Book Blog on 2009-04-08 07:58:02

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