{smcl}
{* 11aug2005}{...}
{hline}
help for {hi:mehetprob} {right: (version 1.0.0) }
{hline}
{title:Compute marginal effects at means an their standard errors after {help hetprob}}
{p 8 20}{cmd:mehetprob}
[, {cmdab:nod:iscrete}]
{title:Description}
{p}{cmd:mehetprob} computes marginal effects at means and their standard errors in a heteroscedastic probit model.
{cmd:mehetprob} is executed after Stata's {help hetprob} command. It uses the coefficients
and standard errors returned by {help 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.
{p}{cmd:mehetprob} delivers the same results as
{p 4 8}{inp:. mfx compute}
after {help hetprob}.
{p}While {help mfx} computes the derivatives needed to infer the standard errors numerically, {cmd:mehetprob} computes
them analytically and is therefore considerably faster. It takes only a few seconds while {cmd:mfx compute} after
{help hetprob} can take several hours in Stata 8 and several minutes in Stata 9.
{title:Options}
{p 0 4}{cmdab:nod:iscrete} specifies that dummy (indicator) variables be treated as continuous.
{title:Saved results}
{col 8}{cmd:XBAR}{col 20}The matrix {cmd:XBAR} contains means of the regressors of the main equation of the
{col 20}heteroscedastic probit model.
{col 8}{cmd:ZBAR}{col 20}The matrix {cmd:ZBAR} contains means of the regressors of the equation to model the
{col 20}variance in the heteroscedastic probit model.
{col 8}{cmd:DER}{col 20}The element (i,j) of the matrix {cmd:DER} contains the derivative of the marginal effect of the
{col 20}regressor w_i with respect to the regression coefficient theta_j.
{col 20}The delta method is based on this matrix.
{col 8}{cmd:C}{col 20}The matrix {cmd:C} contains the results: marginal effects, standard errors,
{col 20}z-values and P-values derived therefrom.
{col 8}{cmd:mehetprob} temporarily creates the matrices C, C1, C2, ZG, ZGx, XB, XBx, B, ZBAR, XBAR, G, D, V.
{col 8}If any of this matrices exists prior to the execution of the command, it will be overwritten.
{title:Example}
{p 4 8}{inp:. hetprob x y, het(y z)}
{p 4 8}{inp:. mehetprob}
{title:Author}
Thomas Cornelißen, University of Hannover, Germany
cornelissen@mbox.iqw.uni-hannover.de
{title:Also see}
{p 0 9}On line: help for
{help hetprob},
{help mfx}.