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Compute marginal effects at means an their standard errors afterhetprob

mehetprob[,nodiscrete]

Description

mehetprobcomputes marginal effects at means and their standard errors in a heteroscedastic probit model.mehetprobis 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.

mehetprobdelivers the same results as. mfx compute

after hetprob.

While mfx computes the derivatives needed to infer the standard errors numerically,

mehetprobcomputes them analytically and is therefore considerably faster. It takes only a few seconds whilemfx computeafter hetprob can take several hours in Stata 8 and several minutes in Stata 9.

Options

nodiscretespecifies that dummy (indicator) variables be treated as continuous.

Saved results

XBARThe matrixXBARcontains means of the regressors of the main > equation of the heteroscedastic probit model.

ZBARThe matrixZBARcontains means of the regressors of the equa > tion to model the variance in the heteroscedastic probit model.

DERThe element (i,j) of the matrixDERcontains 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.

CThe matrixCcontains the results: marginal effects, standar > d errors, z-values and P-values derived therefrom.

mehetprobtemporarily 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.

Example. hetprob x y, het(y z)

. mehetprob

AuthorThomas Cornelißen, University of Hannover, Germany cornelissen@mbox.iqw.uni-hannover.de

Also see