{smcl} {title:Title} {p 4 8}{cmd:mmeiv} {hline 2} Multiple Marginal Effects IV Estimation {marker syntax}{...} {title:Syntax} {p 4 8}{cmd:mmeiv} {depvar} [{it:{help varlist:varlist_W2}}] {cmd:(}{it:{help varlist:varlist_X}} {cmd:=} {it:{help varname:varname_T}} { {it:{help varlist:varlist_W1}} }{cmd:)} {ifin} [{it:{help ivregress##weight:weight}}] [{cmd:,} {it:options}] {synoptset 28 tabbed}{...} {marker description}{...} {title:Description} {p 4 8}{cmd:mmeiv} implements a multiple marginal effects estimation using instrumental variables, as proposed in {browse "http://www.dropbox.com/s/hf94cqp61e56l88/CaetanoEscanciano.pdf?dl=0":Caetano and Escanciano}. {p 4 4} Following the notation in the paper, {cmd:mmeiv} estimates multiple marginal effects of {it:varlist_X} on {it:depvar} using the instrument {it:varname_T} and covariates {it:varlist_W1}. {it:varlist_X} and {it:varlist_W1} are endogenous variables. {it:varlist_W1} is the same as {bf:W} as discussed in Caetano and Escanciano. Note that {it:varlist_W1} must have at least as many elements as {it:varlist_X} minus one. {it:varlist_W2} are additional exogenous controls. {marker options}{...} {title:Options} {p 4 8}{opt xk:nots(# [# #...])} specifies the # of knots that are used in creating linear splines for each variable in {it:varlist_X}. Knots are placed at percentiles of the data. Specifying multiple knots for an element of {it:varlist_X} is akin to assuming that this element may have different marginal effects for different values of the variable. By default each element in {it:varlist_X} has only one marginal effect (linear). {p 4 8}{opt wk:nots(# [# #...])} specifies the # of knots that are used in creating linear splines for each variable in {it:varlist_W1}. Knots are placed at percentiles of the data. Specifying multiple knots for an element of {it:varlist_W1} is akin to transforming that element into multiple controls, each of which controls for pieces of the support of that variable separately. By default each element in {it:varlist_W1} is used only as itself. {p 4 8}{opt vce(vcetype)} {it:vcetype} may be {opt un:adjusted}, {opt r:obust}, {opt cl:uster} {it:clustvar}, {opt boot:strap}, {opt jack:knife}, or {opt hac} {help ivregress##kernel:{it:kernel}}. Default is {cmd: unadjusted}. {p 4 8}{opt predict} stores marginal effect estimate and standard errors of the marginal effect of each variable in {it:varlist_X}. {p 4 8}{opt plot} plots the estimated marginal effect of each variable in {it:varlist_X} on {depvar}. {p 4 8}{opt graphop:tions(string)} passes through{help twoway_options: twoway options} to the plotted graphs. {marker results}{...} {title:Stored results} {pstd} {cmd:mmeiv} stores the following in {cmd:e()}: {synoptset 20 tabbed}{...} {p2col 5 20 24 2: Scalars}{p_end} {synopt:{cmd:e(N)}}number of observations{p_end} {synopt:{cmd:e(mss)}}model sum of squares{p_end} {synopt:{cmd:e(df_m)}}model degrees of freedom{p_end} {synopt:{cmd:e(rss)}}residual sum of squares{p_end} {synopt:{cmd:e(df_r)}}residual degrees of freedom{p_end} {synopt:{cmd:e(r2)}}R-squared{p_end} {synopt:{cmd:e(r2_a)}}adjusted R-squared{p_end} {synopt:{cmd:e(F)}}F statistic{p_end} {synopt:{cmd:e(rmse)}}root mean squared error{p_end} {synopt:{cmd:e(N_clust)}}number of clusters{p_end} {synopt:{cmd:e(chi2)}}chi-squared{p_end} {synopt:{cmd:e(wlagopt)}}lags used in HAC weight matrix (if Newey-West algorithm used){p_end} {synopt:{cmd:e(vcelagopt)}}lags used in HAC VCE matrix (if Newey-West algorithm used){p_end} {synopt:{cmd:e(rank)}}rank of {cmd:e(V)}{p_end} {synoptset 20 tabbed}{...} {p2col 5 20 24 2: Macros}{p_end} {synopt:{cmd:e(cmd)}}{cmd:mmeiv}{p_end} {synopt:{cmd:e(cmdline)}}command as typed{p_end} {synopt:{cmd:e(depvar)}}name of dependent variable{p_end} {synopt:{cmd:e(instd)}}instrumented variable{p_end} {synopt:{cmd:e(insts)}}instruments{p_end} {synopt:{cmd:e(wtype)}}weight type{p_end} {synopt:{cmd:e(wexp)}}weight expression{p_end} {synopt:{cmd:e(title)}}title in estimation output{p_end} {synopt:{cmd:e(clustvar)}}name of cluster variable{p_end} {synopt:{cmd:e(hac_kernel)}}HAC kernel{p_end} {synopt:{cmd:e(hac_lag)}}HAC lag{p_end} {synopt:{cmd:e(vce)}}{it:vcetype} specified in {cmd:vce()}{p_end} {synopt:{cmd:e(vcetype)}}title used to label Std. Err.{p_end} {synopt:{cmd:e(exogr)}}exogenous regressors{p_end} {synopt:{cmd:e(properties)}}{mmeiv:b V}{p_end} {synoptset 20 tabbed}{...} {p2col 5 20 24 2: Matrices}{p_end} {synopt:{cmd:e(b)}}coefficient vector{p_end} {synopt:{cmd:e(V)}}variance-covariance matrix of the estimators{p_end} {synoptset 20 tabbed}{...} {p2col 5 20 24 2: Functions}{p_end} {synopt:{cmd:e(sample)}}marks estimation sample{p_end} {p2colreset}{...} {marker references}{...} {title:References} {pstd} Caetano, C. and J. C. Escanciano (2019): {browse "http://www.dropbox.com/s/hf94cqp61e56l88/CaetanoEscanciano.pdf?dl=0":"Identifying Multiple Marginal Effects with a Single Instrument,"} working paper. {marker authors}{...} {title:Authors} {p 4 4} Carolina Caetano {break} University of Georgia {break} Athens, GA {break} { browse "mailto:carol.caetano@uga.edu" : carol.caetano@uga.edu } {p 4 4} Juan Carlos Escanciano {break} University of Indiana {break} Bloomington, IN {break} {browse "mailto:jescanci@indiana.edu" : ailto:jescanci@indiana.edu } {p 4 4} Alon Bergman {break} The Wharton School {break} Philadelphia, PA {break} {browse "mailto:alonberg@wharton.upenn.edu" : alonberg@wharton.upenn.edu }