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From |
rgates@stata.com (Richard Gates) |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: -clogit-, -asclogit- and marginal effects |

Date |
Mon, 29 Oct 2007 10:29:22 -0500 |

Timothy Dang <tpondang@gmail.com> is interested in comparing the marginal effects computations of -mfx- after -clogit- with those from -estat mfx- after -asclogit-. In -clogit- postestimation terminology, the marginal effects of -asclogit- are for the -predict, pc1- estimates of -clogit-. A formal definition of this computation is found on page 291 of the reference manual [R] A-H. To give a rough idea of the computation I hacked in the formula below: exp(x_t*b) Pr(y_t=1|sum_j(y_j)=1) = ----------------- sum_j(exp(x_j*b)) The postestimation program -mfx- will not allow you to obtain marginal effects using this predictor after -clogit-. -mfx- uses numerical derivatives to compute the marginal effects. If we perturb one of the (alternative-specific) varibles then all of the probabilities of that group (case) will change. -mfx- is not general enough to handle this, so we developed -estat mfx- after -asclogit-. -estat mfx- uses analytical first order derivatives to obtain the marginal effects and numerical second order derivatives in the standard error computation. The numerical derivatives can fail, and this is the case for two of the tables observed by Timothy. -Rich rgates@stata.com * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: -clogit-, -asclogit- and marginal effects***From:*"Timothy Dang" <tpondang@gmail.com>

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