Fitting Fully Observed Recursive Mixed-process Models with cmp

At the heart of many econometric models are a linear function and a normal error. Examples include the classical small-sample linear regression model and the probit, ordered probit, multinomial probit, tobit, interval regression, and truncated-distribution regression models. Because the normal distribution has a natural multidimensional generalization, such models can be combined into mul-tiequation systems in which the errors share a multivariate normal distribution. The literature has historically focused on multistage procedures for fitting mixed models, which are more efficient computationally, if less so statistically, than maximum likelihood. Direct maximum likelihood estimation has been made more…