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st: RE: probit vs. reg postestimation


From   "Martin Weiss" <martin.weiss@uni-tuebingen.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: probit vs. reg postestimation
Date   Sun, 24 Aug 2008 22:44:16 +0200

If you are unsure about such issues, just check in Stata

******************
sysuse auto, clear
qui probit foreign weight mpg
mfx
qui reg foreign weight mpg
mfx
******************

and see that the marginal effects are not equal, and neither are the
p-values... (mpg is significant at alpha=5% in the -probit- vs. -regress-).
Note also that -mfx- is redundant for -regress- as the linear model has
constant marginal effects whereas -probit- requires you to specify at which
value of the covariates it should evaluate the marginal effects. The default
for -mfx- is the mean of the regressors (see -h-mfx-).
There is always a reason why Stata does not offer something, such as -resid-
for -predict- after -probit-. That should make you think twice before
constructing things like

******************
sysuse auto, clear
qui probit foreign weight mpg
predict pred
g resid= pred -for
******************



HTH
Martin

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nirina F
Sent: Sunday, August 24, 2008 10:23 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: probit vs. reg postestimation

Hello,

My dependent variable is a binary variable. Onn the following example
y=b1x1+b2x2+b3x3+e,
if I use reg to estimate b's , I should get more or less the same
results as the marginal effects after probit.
Now after reg, I can use predict e1, resid but after probit how can I
get the same thing as e1?
and then if I want to do 2sls, ivreg2 won't be as ivprobit right?

Thank you very much in advance for your help.
Nir
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