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st: Calculating Standard Errors of Predicted Probabilities in ProbitModels


From   Martin Daniel Heintzelman <mheintze@umich.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Calculating Standard Errors of Predicted Probabilities in ProbitModels
Date   Mon, 22 Aug 2005 09:22:03 -0400 (EDT)

I am running a probit model with towns in Massachusetts as my observations, and the dependent variable being whether or not the town as implemented a particular policy. After running the model I calculate the predicted probabilities for all towns. I want to compare these probabilities for TWO specific towns - are they significantly different or not? I was hoping to perform a t-test to figure this out, but need the standard errors of the predicted probabilities to do this.

The predict command will give me the standard errors of the linear prediction - is there a way, from that information, to calculate the standard error of the predicted probability? Or is there some OTHER way to test the hypothesis that these predicted probabilities are the same (or different)?

Thanks for your help!

Martin Heintzelman
Ph.D. Candidate
Department of Economics
University of Michigan
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