help asmprobit postestimation dialogs: predict estat
also see: asmprobit
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Title
[R] asmprobit postestimation -- Postestimation tools for asmprobit
Description
The following postestimation commands are of special interest after
asmprobit:
command description
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estat alternatives alternative summary statistics
estat covariance variance-covariance matrix of the alternatives
estat correlation correlation matrix of the alternatives
estat facweights covariance factor weights matrix
estat mfx marginal effects
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The following standard postestimation commands are also available:
command description
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estat AIC, BIC, VCE, and estimation sample summary
estimates cataloging estimation results
lincom point estimates, standard errors, testing, and inference for
linear combinations of coefficients
lrtest likelihood-ratio test
nlcom point estimates, standard errors, testing, and inference for
nonlinear combinations of coefficients
predict predicted probabilities, estimated linear predictor and its
standard error
predictnl point estimates, standard errors, testing, and inference for
generalized predictions
test Wald tests of simple and composite linear hypotheses
testnl Wald tests of nonlinear hypotheses
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Special-interest postestimation commands
estat alternatives displays summary statistics about the alternatives in
the estimation sample and provides a mapping between the index numbers
that label the covariance parameters of the model and their associated
values and labels for the alternative variable.
estat covariance computes the estimated variance-covariance matrix for
the alternatives. The estimates are displayed, and the
variance-covariance matrix is stored in r(cov).
estat correlation computes the estimated correlation matrix for the
alternatives. The estimates are displayed, and the correlation matrix is
stored in r(cor).
estat facweights displays the covariance factor weights matrix and stores
it in r(C).
estat mfx computes the simulated probability marginal effects.
Syntax for predict
predict [type] newvar [if] [in] [, statistic altwise]
predict [type] {stub*|newvarlist} [if] [in] , scores
statistic description
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Main
pr probability alternative is chosen; the default
xb linear prediction
stdp standard error of the linear prediction
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These statistics are available both in and out of sample; type predict
... if e(sample) ... if wanted only for the estimation sample.
Menu
Statistics > Postestimation > Predictions, residuals, etc.
Options for predict
+------+
----+ Main +-------------------------------------------------------------
pr, the default, calculates the probability that alternative j is chosen
in case i.
xb calculates the linear prediction for alternative j and case i.
stdp calculates the standard error of the linear predictor.
altwise specifies that alternative-wise deletion be used when marking out
observations due to missing values in your variables. The default is
to use casewise deletion. The xb and stdp options always use
alternative-wise deletion.
scores calculates the scores for each coefficient in e(b). This option
requires a new variable list of length equal to the number of columns
in e(b). Otherwise, use the stub* option to have predict generate
enumerated variables with prefix stub.
Syntax for estat alternatives
estat alternatives
Menu
Statistics > Postestimation > Reports and statistics
Syntax for estat covariance
estat covariance [, format(string) border(string) left(#)]
Menu
Statistics > Postestimation > Reports and statistics
Options for estat covariance
format(string) sets the matrix display format. The default is
format(%9.0g).
border(string) sets the matrix display border style. The default is
border(all). See [P] matlist.
left(#) sets the matrix display left indent. The default is left(2).
See [P] matlist.
Syntax for estat correlation
estat correlation [, format(string) border(string) left(#)]
Menu
Statistics > Postestimation > Reports and statistics
Options for estat correlation
format(string) sets the matrix display format. The default is
format(%9.4f).
border(string) sets the matrix display border style. The default is
border(all). See [P] matlist.
left(#) sets the matrix display left indent. The default is left(2).
See [P] matlist.
Syntax for estat facweights
estat facweights [, format(string) border(string) left(#)]
Menu
Statistics > Postestimation > Reports and statistics
Options for estat facweights
format(string) sets the matrix display format. The default is
format(%9.0f).
border(string) sets the matrix display border style. The default is
border(all). See [P] matlist.
left(#) sets the matrix display left indent. The default is left(2).
See [P] matlist.
Syntax for estat mfx
estat mfx [if] [in] [, options]
options description
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Main
varlist(varlist) display marginal effects for varlist
at(mean [atlist]|median [atlist]) calculate marginal effects at these
values
Options
level(#) set confidence interval level;
default is level(95)
nodiscrete treat indicator variables as
continuous
noesample do not restrict calculation of means
and medians to the estimation
sample
nowght ignore weights when calculating
means and medians
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Menu
Statistics > Postestimation > Reports and statistics
Options for estat mfx
+------+
----+ Main +-------------------------------------------------------------
varlist(varlist) specifies the variables for which to display marginal
effects. The default is all variables.
at(mean [atlist]|median [atlist]) specifies the values at which the
marginal effects are to be calculated. atlist is
[[alternative:variable = #] [variable = #] [...]]
The default is to calculate the marginal effects at the means of the
independent variables at the estimation sample, at(mean).
After specifying the summary statistic, you can specify a series of
specific values for variables. You can specify values for
alternative-specific variables by alternative, or you can specify one
value for all alternatives. You can specify only one value for
case-specific variables. For example, in the travel dataset, income
is a case-specific variable, whereas termtime and travelcost are
alternative-specific variables. The following would be a legal
syntax for estat mfx:
. estat mfx, at(mean air:termtime=50 travelcost=100 income=60)
When nodiscrete is not specified, at(mean [atlist]) or at(median
[atlist]) has no effect on computing marginal effects for indicator
variables, which are calculated as the discrete change in the
simulated probability as the indicator variable changes from 0 to 1.
The mean and median computations respect any if or in qualifiers, so
you can restrict the data over which the means or medians are
computed. You can even restrict the values to a specific case; e.g.,
. estat mfx if case==21
+---------+
----+ Options +----------------------------------------------------------
level(#) specified the confidence level, as a percentage, for confidence
interval. The default is level(95) or as set by set level.
nodiscrete specifies that indicator variables be treated as continuous
variables. An indicator variable is one that takes on the value 0 or
1 in the estimation sample. By default, the discrete change in the
simulated probability is computed as the indicator variable changes
from 0 to 1.
noesample specifies that the whole dataset be considered instead of only
those marked in the e(sample) defined by the asmprobit command.
nowght specifies that weights be ignored when calculating the means or
medians.
Examples
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Setup
. webuse travel
. asmprobit choice travelcost termtime, casevars(income) case(id)
alternatives(mode)
Obtain correlation matrix of the alternatives
. estat correlation
Obtain variance-covariance matrix of the alternatives
. estat covariance
Calculate probability alternative is chosen
. predict p
Calculate marginal effects for the case-specific variable income and the
alternative-specific variables termtime and travelcost
. estat mfx, at(air: termtime=50 travelcost=100 income=60)
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Setup
. webuse travel, clear
. asmprobit choice travelcost termtime, casevars(income) case(id)
alternatives(mode)
. estimates store full
. asmprobit choice travelcost termtime, casevars(income) case(id)
alternatives(mode) correlation(exchangeable)
Perform likelihood-ratio test to compare models
. lrtest full .
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Saved results
estat mfx saves the following in r():
Scalars
r(pr_alt) scalars containing the computed probability of each
alternative evaluated at the value that is labeled X in the table
output. Here alt are the labels in the macro e(alteqs).
Matrices
r(alt) matrices containing the computed marginal effects and
associated statistics. There is one matrix for each alternative,
where alt are the labels in the macro e(alteqs). Column 1 of
each matrix contains the marginal effects; column 2, their
standard errors; columns 3 and 4, their z statistics and the
p-values for the z statistics; and columns 5 and 6, the
confidence intervals. Column 7 contains the values of the
independent variables used to compute the probabilities
r(pr_alt).
Also see
Manual: [R] asmprobit postestimation
Help: [R] asmprobit
