Compute marginal effects at means an their standard errors after hetprob
mehetprob [, nodiscrete]
mehetprob computes marginal effects at means and their standard errors in a heteroscedastic probit model. mehetprob is executed after Stata's hetprob command. It uses the coefficients and standard errors returned by hetprob in order to compute marginal effects at means and their standard errors by using the delta method. The syntax is such that it requires at least Stata 8.
mehetprob delivers the same results as
. mfx compute
While mfx computes the derivatives needed to infer the standard errors numerically, mehetprob computes them analytically and is therefore considerably faster. It takes only a few seconds while mfx compute after hetprob can take several hours in Stata 8 and several minutes in Stata 9.
nodiscrete specifies that dummy (indicator) variables be treated as continuous.
XBAR The matrix XBAR contains means of the regressors of the main > equation of the heteroscedastic probit model.
ZBAR The matrix ZBAR contains means of the regressors of the equa > tion to model the variance in the heteroscedastic probit model.
DER The element (i,j) of the matrix DER contains the derivative > of the marginal effect of the regressor w_i with respect to the regression coefficient the > ta_j. The delta method is based on this matrix.
C The matrix C contains the results: marginal effects, standar > d errors, z-values and P-values derived therefrom.
mehetprob temporarily creates the matrices C, C1, C2, ZG, ZGx, XB, XBx, > B, ZBAR, XBAR, G, D, V. If any of this matrices exists prior to the execution of the command, it > will be overwritten.
. hetprob x y, het(y z)
Thomas Cornelißen, University of Hannover, Germany firstname.lastname@example.org