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

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: marginal effects for user defined programs |

Date |
Tue, 04 Oct 2005 18:24:40 -0500 |

On Tuesday morning Paul asked about calculating marginal effects after

user written estimation commands.

Paul has made a good start by storing the estimation results and the name of his predict command. This is important since -mfx- uses predict:

I have made one slight change to Paul's program: I have changed the single quotes to double quotes.program define myreoprob, eclass reoprob wagecat inc female, i(id) estimates local cmd="myreoprob" estimates local predict="mypredict" end

Now we need to define the program -predict- will call:

cap program drop mypredict

program define mypredict

syntax newvarlist [in] [if], [x]

tempvar touse xb

mark `touse'

_predict double `xb'

gen double `varlist'= norm([_cut1]_b[_cons]-`xb') if `touse'

end

With these two programs defined we can use -mfx- after -reoprob-:

clear

use http://www.stata-press.com/data/r7/auto

keep rep mpg for turn

drop if rep<3

replace rep=rep-3

rename turn id

rename for female

rename mpg inc

rename rep wagecat

myreoprob wagecat inc female, i(id)

mfx compute

Now, given that taking the derivates and differences is not too tricky

in the instance, I'm going to do that just so I can verify I have done

this correctly.

clear

use http://www.stata-press.com/data/r7/auto

keep rep mpg for turn

drop if rep<3

replace rep=rep-3

rename turn id

rename for female

rename mpg inc

rename rep wagecat

reoprob wagecat inc female, i(id)

sum inc

local minc=r(mean)

sum female

local mfemale=r(mean)

local xb (_b[inc]*`minc'+_b[female]*`mfemale')

display " p = " norm([_cut1]_b[_cons]-`xb')

display "dpdinc: " normd([_cut1]_b[_cons]-`xb')*(-_b[inc])

local xb1 (_b[inc]*`minc'+_b[female]*1)

local xb0 (_b[inc]*`minc'+_b[female]*0)

local p1 norm([_cut1]_b[_cons]-`xb1')

local p0 norm([_cut1]_b[_cons]-`xb0')

display "dpdfemale: " `p1'-`p0'

The marginal effects I calculated here "by hand" should agree with those

give by -mfx-. Of course, -mfx- has the advantage of being able to also give the standard errors. In version 9, one can use -nlcom- instead of

-display- in my "by hand" method to get the standard errors.

-- May

mmb@stata.com

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**References**:**st: marginal effects for user defined programs***From:*"Paul James" <pauljamesosb@hotmail.com>

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