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

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: How to calculate the standard errors for the MFX afterintreg |

Date |
24 Sep 2004 08:41:00 -0500 |

On Friday, Bo MacInnis wrote: > My estimation should be -tobit-, and I use -intreg- to obtain robustness > standard errors. I can calculate the mfx "by hand" but don't know exactly > how to calculate the standard errors for the marginal effect. I am aware of > the wonderful tool -dtobit- that does the magic after -tobit-. Does anyone > know a command to calculate the mfx for -intreg-? > The command -mfx- can calculate marginal effects, and their standard errors, after -intreg-. However, it is not so difficult to do it other ways as well. If you know the analytical formula for the derivative (ie. marginal effect), you can use -predictnl- to get the standard error. The only difference between -generate- and -predictnl- is that -predictnl- can use the delta method to calculate the standard errors. Let's have an easy example, probability of success following -logit-: clear sysuse auto logit for mpg sum mpg if e(sample) local mean=r(mean) gen y=exp(_b[mpg]*`mean'+_b[_cons])/(1+exp(_b[mpg]*`mean'+_b[_cons])) predictnl dydx=_b[mpg]*exp(_b[mpg]*`mean'+_b[_cons])/ /* */ (1+exp(_b[mpg]*`mean'+_b[_cons]))^2, se(se) list y dydx se in 1 mfx Here y is the predicted probability of success, evaluated at the mean of the covariate mpg.I can take the derivative of y with respect to the covariate mpg using the quotient rule. Rather than using -generate- to calculate the value of dydx (ie. the marginal effect) at the mean of mpg, I will use -predictnl- so I can also get the standard error as well. If I have not made a mistake, my results should agree with those of -mfx-. There are several examples of using -predictnl- to get standard errors of marginal effects in the following FAQ on marginal effects for models with interactions: http://www.stata.com/support/faqs/stat/mfx_interact.html --May mmb@stata.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: How to calculate the standard errors for the MFX after intreg***From:*Bo MacInnis <bo@macinnis.org>

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