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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: dprobit/nocons/mfx question |

Date |
Sat, 21 Mar 2009 17:59:58 -0400 |

Mark (Fellow of the Royal Society of Edinburgh! congrats!)-- I don't recommend using -dprobit- or -mfx- for this kind of problem. Their answers to any substantive question will often be very wrong in this kind of setting. In fact, I think both -dprobit- and -mfx- should exit with an error immediately if specified with (or after) the -nocons- option, as that usually indicates someone is including a set of exhaustive mutually exclusive dummies, for which marginal effects cannot be sensibly calculated using the -mfx- approach (the -force- option could still force the command to continue even after an error message is issued). Let's adopt the -mfx- language of "marginal effects" for dummies, as distasteful as it is to mix derivatives and discrete differences under the same moniker. In general, the marginal effects of the two exhaustive mutually exclusive dummies in your example should be the negative of each other. Note that the predicted probability of y given f==1 is .2273, the predicted probability of y given f==0 is .5769, regardless of which probit command you use, or using the column proportions from the -tabulate- call below. In this case, we would call the marginal effect of f a reduction of 0.3497 in the predicted probability of y when f==1, relative to the case where f==0. Likewise, we would call the marginal effect of d an increase of 0.3497 in the predicted probability of y, relative to the case where d==0 (f==1). Note that -mfx- gets the right answer in this case after a probit with only one dummy, but fails to perform well with -nocons-. -mfx- will usually be further from the right answer with more covariates included (because predictions will be made at the mean of the covariates rather than at each sample value; see also http://gelbach.eller.arizona.edu/~gelbach/ado/margfx.pdf), but that is a difference of method (not an outright mistake). Another view of marginal effects might be to compare the case where f is known to be 1 to the case where its value is unknown, so we take the predicted probability over the whole sample, and compute the marginal effect of f as .22727-.47297 = -.2457 and the marginal effect of d as .57692-.47297 = .1040 (the difference of these two effects gives the same answer as above). Even if this view is appealing, note that -mfx- after -probit y f d, nocons- does not return this answer--it adopts the view that the marginal effect is normal(_b[f]+.7*_b[d])-normal(.7*_b[d]) which does not make a lot of sense--the question for that answer is: "what would be the effect on the predicted probability of making a domestic car foreign, conditional on it being 70% domestic when it is domestic, and 70% domestic when it is foreign?" (a silly question IMHO). I think -margeff- (see also http://www.stata-journal.com/sjpdf.html?articlenum=st0086) also reports the wrong answers with exhaustive mutually exclusive dummies and the -nocons- option, but at least you can extract the right answer with a modicum of algebra: cap net inst margeff, from(http://web.uni-corvinus.hu/bartus/stata) sysuse auto, clear ren foreign f gen d=1-f gen y=(mpg<20) ta y f, col probit y f d, nocons nolog mfx mat mfx=e(Xmfx_dydx) loc mfx=mfx[1,1]-mfx[1,2] margeff, dummies(f d) replace mat b=e(b) loc mar=b[1,1]-b[1,2] probit y f, nolog mfx margeff, dummies(f d) di "Above -mfx- said " `mfx' ", -margeff- said " `mar' qui { replace f=1 predict double p1 replace f=0 predict double p0 su p0, meanonly loc p0=r(mean) su p1, meanonly loc p1=r(mean) } di "Marginal effect of f is " `p1'-`p0' On Thu, Mar 19, 2009 at 3:21 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote: > Hi folks. > > Does anyone know why -dprobit- doesn't allow -nocons-? > > What makes this a curious limitation is that -mfx- following -probit- > has no problem with -nocons-. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: dprobit/nocons/mfx question***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**References**:**st: dprobit/nocons/mfx question***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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