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RE: st: RE: Marginal effects after ivprobit


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: Marginal effects after ivprobit
Date   Tue, 13 Sep 2005 16:14:00 -0500

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Tinna
> Sent: Tuesday, September 13, 2005 3:37 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: Marginal effects after ivprobit
> 
> Thanks for the answer Scott.  Yes I am pretty sure.
> 
> If you try the same estimations again without regressing quietly then
> you will probably see that the coefficients you get after mfx are the
> same as from the original estimation. 

<snip>

But they are not.

. webuse laborsup, clear

. ivprobit fem_work fem_educ kids (other_inc = male_educ) , nolog

Probit model with endogenous regressors        Number of obs   =        500
                                               Wald chi2(3)    =     163.88
Log likelihood = -2368.2062                    Prob > chi2     =     0.0000

----------------------------------------------------------------------------
Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+--------------------------------------------------------------
fem_work     |
   other_inc |  -.0542756   .0060854    -8.92   0.000    -.0662027   -.04234
    fem_educ |    .211111   .0268648     7.86   0.000     .1584569    .26376
        kids |  -.1820929   .0478267    -3.81   0.000    -.2758316   -.08835
       _cons |   .3672083   .4480724     0.82   0.412    -.5109975    1.2454
-------------+--------------------------------------------------------------
    /lnsigma |   2.813383   .0316228    88.97   0.000     2.751404    2.8753
     /athrho |   .3907858   .1509443     2.59   0.010     .0949403    .68663
-------------+--------------------------------------------------------------
       sigma |   16.66621   .5270318                      15.66461    17.731
         rho |   .3720374   .1300519                      .0946561    .59581
----------------------------------------------------------------------------
Instrumented:  other_inc
Instruments:   fem_educ kids male_educ
----------------------------------------------------------------------------
Wald test of exogeneity (/athrho = 0): chi2(1) =     6.70 Prob > chi2 =
0.0096

. estimates store iv

. mfx, predict(p)

warning: predict() expression p unsuitable for standard-error calculation;
option nose imposed


Marginal effects after ivprobit
      y  = Probability of positive outcome (predict, p)
         =  .44363395
----------------------------------------------------------------------------
                        variable |          dy/dx                 X
---------------------------------+------------------------------------------
                       other_inc |       -.0214364            49.6023
                        fem_educ |        .0833791             12.046
                            kids |       -.0719183              1.976
                       male_educ |               0             11.966
----------------------------------------------------------------------------

. estimates store mfx

Or, all together for easy comparison:

. estout iv mfx, style(fixed) margin meqs(fem_work) label varwidth(24)
varlabels(_cons Constant) keep(fem_work:) collabels(,none)

                                   iv          mfx
Does female work?                                 
Other income                -.0542756    -.0214364
Female education level        .211111     .0833791
Number of children          -.1820929    -.0719183
Constant  


Scott




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