Multinomial probit instrumented with cmp

[Jim Smith]

Hello,

I would like some information about the cmp command.

My issue is the following.

I want to instrument a multinomial probit model.

My model looks like this: cmp (Y = X1 X2 ... ENDOGENE, iia), nolr ind ($ cmp_mprobit) vce (robust)

My endogenous variable is a score from 0 to 6. My instrumental variable is dichotomous. Here is the code I made to instrumentalize my model:

cmp (Y = X1 X2 ... ENDOGENEOUS, iia) (ENDOGENEOUS = X1 X2 ... INSTRUMENT, iia), nolr ind ($ cmp_mprobit $ cmp_cont) vce (robust)


Nevertheless, my ENDOGENEOUS variable is a score variable, so it makes more sense to write $ cmp_oprobit instead of $ cmp_cont.

Is this formula right to instrument my model ? :

cmp (Y = X1 X2 ... ENDOGENEOUS, iia) (ENDOGENEOUS = X1 X2 ... INSTRUMENT), nolr ind ($ cmp_mprobit $ cmp_oprobit) vce (robust)

[Jim Smith]

Indeed, I want to be sure that the integration of this ordered variable instrumentalizes my model.

Finally, I try to test the validity of my instrument with the command "overid", however stata returns me an error message. Do you have a solution for a multinomial probit model?

Thank you.

Jim

[Stephen Jenkins]

Jim: this is the forum for Mata. I recommend you repost in the main Stata forum

[Jim Smith]

Hello Stephen, I will follow your advice, thank you very much.