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From |
"Stephen P. Jenkins" <stephenj@essex.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Marginal effects for bivariate probit |

Date |
Mon, 17 Nov 2003 09:02:15 +0000 (GMT Standard Time) |

On Fri, 14 Nov 2003 16:13:16 -0800 (PST) Joseph Capuno <jcapuno@yahoo.com> wrote: > Hi! I've been running a bivariate probit regression > and try to obtain the marginal effects using the 'mfx > compute" option. However, I fail to obtain the > marginal effects in most of the runs, and in those > cases when I do Stata does not compute the standard > errors. > I would appreciate it somebody could help me out with > the following questions: > (1) Is there a way for me to compute the standard > errors myself? You can program the analytical formulae, but it is complicated. Formulae are given in Christofides LN, Stengos T, Swidinsksy R (1997) "On the calculation of marginal effects in the bivariate probit model" Economics Letters 54, 203-208 with an important Corrigendum by Christofides LN, Hardin JW and Stengos T (2000) Economics Letters 68, 339, which indicated tersely that many of the original formulae were wrong. I am not sure that the Corrigendum resolved everything either (it is very terse). The help file to Tomas Bartus's program -margin- states that it calculates marginal effects for -biprobit-, but I have not checked that it uses the analytical formulae cited above. > (2) And, how do I interpret Stata's estimates of the > marginal effects with no standard errors? How much > confidence can I attach to these estimates? > (3) Sometimes Stata reports "." when a standard error, > z-stat, P>|z|, Wald statistic or a chi-squared > statistic is expected? What does "." mean in this > context? No estimate? I suspect both symptoms are related, and connected to an inability to invert the relevant Hessian matrix (as it is close to singular) -- required to calculate the s.e.s. Also check whether your original model is well-conditioned (e.g. no very large coefficients) Stephen ---------------------- Professor Stephen P. Jenkins <stephenj@essex.ac.uk> Institute for Social and Economic Research (ISER) University of Essex, Colchester, CO4 3SQ, UK Tel: +44 (0)1206 873374. Fax: +44 (0)1206 873151. http://www.iser.essex.ac.uk * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: Re: MVPROBIT***From:*Joseph Capuno <jcapuno@yahoo.com>

**Re: st: Marginal effects for bivariate probit***From:*Joseph Capuno <jcapuno@yahoo.com>

**References**:**st: Hi! Mfx compute does not give standard errors***From:*Joseph Capuno <jcapuno@yahoo.com>

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