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st: covariance of predicted probabilities using random effects probit


From   Gabriel Demombynes <demombynes@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: covariance of predicted probabilities using random effects probit
Date   Fri, 4 Feb 2005 10:40:19 -0800 (PST)

Forgive me for asking what is more an applied stats
question than a Stata question. 

I have stumped myself trying to figure out how to
calculate the covariance of the predicted
probabilities for a random effects probit. For
observations from independent "units," this is easily
calculated using the delta method, with the same
result as for the simple probit. However, for
observations from the same independent units, there is
an additional covariance in the predicted
probabilities due to the random effect.

Just so it's clear what I'm talking about in Stata
terms, here's my xtprobit command:

xtprobit poor hsize hsize2 television rechead roompp,
i(unit)

Any help would be appreciated. Thanks!
Gabriel


		
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