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From |
May Boggess <mboggess@stata.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Computing marginal effects after random effects probit |

Date |
31 Aug 2004 08:29:41 -0500 |

On Monday, Aparna wrote: > > I have run a random effects probit regression, and I'm trying to > compute the marginal effects by using the command "mfx compute".The > regression itself took almost 7-8 hours, but the computation of the > marginal effects seems to be taking even longer.It' s been running for > almost a day with no output.Am I doing something wrong?Is there a way of > speeding up the process? In the March 2004 update -mfx- had some improvements that resulted in increased speed in many cases. When there are many variables in model, then obtaining the standard errors is going to be time consuming (because derivatives of the marginal effect with respect to every coefficient in the model must be calculated for the delta method). In the update the -tracelvl()- option was added. This option specifies that the results be displayed as they are computed. Another useful option that as added in the update is the -varlist()- which allows the user to specify which marginal effects are to be calculated. Thus, if you are interested in the marginal effects for only some variables, you now don't have to wait while it calculates all of them. One comment on using -mfx- after -xtprobit, re-: the default prediction after -xtprobit, re- is the linear predictor xb, so it is important to use the -predict- option on -mfx- to specify the prediction function you would like -mfx- to differentiate (eg. pu0). Otherwise you may wait for a long time only to discover that b is the derivative of xb and its standard error is just the standard error of b. In other words, you will have exactly the same output as you obtained from your regression. There is an FAQ on what you can do to help -mfx- do its job: http://www.stata.com/support/faqs/stat/mfx_speed.html --May mmb@sstata.com * * 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/

**References**:**st: Computing marginal effects after random effects probit***From:*"Aparna Mathur" <Mathur@econ.bsos.umd.edu>

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