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Re: st: Significance of Probit estimates versus marginal effects


From   Kir1 <kiron.r@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Significance of Probit estimates versus marginal effects
Date   Tue, 11 Nov 2008 02:18:40 -0800

Thanks Maarten, now I get the difference between the two hypotheses (
X affecting Y versus X affecting Y*).

I had known the difference between margeff and margeff at(mean). I am
using margeff but I tried margeff at(mean) to compare the extent of
difference in significance. Perhaps there is a difference in the way
the standard errors are calculated margeff at(mean) gives a standard
error even when mfx says standard errors cannot be computed. Perhaps
my earlier statement was not too clear.

Thanks Scott, now I need to spend some time figuring out mfx compute,
predict(p) versus mfx compute, predict(xb).  And Jay I got the 2nd ed.
and I really like the book.

Kiron

On Thu, Oct 23, 2008 at 9:45 AM, Verkuilen, Jay <JVerkuilen@gc.cuny.edu> wrote:
>
> Just as an addition, I highly suggest the original poster take a look
> at:
>
> JS Long (1998) Regression Models for Categorical and Limited Dependent
> Variables.
> JS Long & J Freese (2005) Regression Models for Categorical Dependent
> Variables With Stata, 2nd Ed.
>
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Scott
> Merryman
> Sent: Thursday, October 23, 2008 7:39 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Significance of Probit estimates versus marginal
> effects
>
> On Wed, Oct 22, 2008 at 8:11 PM, Kir1 <kiron.r@gmail.com> wrote:
> > Hi All,
> >
> > A search on the statlist archives didn't turn up an answer to this.
> > Can anyone help?
> >
> > When i run a probit I find the variable of interest statistically
> > significant. However, once I list the marginal effects using
> > 'margeff', the variable is not statistically significant anymore.
> > (margeff, at(mean) same as mfx is still significant as the probit
> > estimate, albeit at a different level of significance).
> >
> > What can i make of this?Is the effect of the variable significant or
> > not? what is the different meaning of the significance of the probit
> > estimate versus that of the marginal effect?
> >
>
> In addition:
>
> "...the standard error of the marginal effect is obtained by the delta
> method, which means that the standard error for the marginal effect of
> one independent variable involves the whole variance-covariance matrix
> from the estimation together with the appropriate entries from the
> Jacobian. In other words, there is a lot of stuff that goes into the
> calculation beyond just the standard error of the coefficient of that
> variable, and these other things can cause it to be greater than 0.05,
> even when the coefficient standard error is less than 0.05."
>
> (From May Boggess <mboggess@stata.com>
> http://www.stata.com/statalist/archive/2004-03/msg00142.html)
>
> Scott
> *
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