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Re: st: Calculate Marginal Effect after IVPROBIT


From   "Brian P. Poi" <bpoi@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Calculate Marginal Effect after IVPROBIT
Date   Mon, 9 Jul 2007 13:02:51 -0500 (CDT)

On Mon, 9 Jul 2007 07:34:16 -0400 (EDT), Prabal Kumar De <prabal.de@nyu.edu> wrote:


Hi!
I need to know what is the best way to calculate the marginal effect after running IVPROBIT. I use -mfx- , but it is not reporting standard errors ( even after specifying the value at which to be calculated). I could not find something like -divprobit-
Any help will be much appreciated.
Thanks,
Prabal
***************************************************
Prabal Kr. De
Department of Economics, New York University

When using Stata 9, you can safely use the "force" option with -mfx- after -ivprobit- to obtain the standard errors of the marginal effects:

. webuse laborsup
. ivprobit fem_work fem_educ kids (other_inc = male_educ)
. mfx, predict(p) force


The maximum likelihood estimator fits the probit equation as well as the reduced-form equation for other_inc jointly. By default, -mfx- will refuse to compute standard errors if a righthand side variable in one equation appears as the dependent variable in another equation of the model (as other_inc does in this case). For most models, that is the appropriate thing to do. However, for -ivprobit-, the probability of a positive outcome only depends on the coefficients of the probit equation, so it is safe to use the "force" option with -mfx-.

In Stata 10, we made -mfx- report the standard errors after -ivprobit- without your needing to specify the "force" option.

-- Brian Poi
bpoi@stata.com
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