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AW: st: RE: wald tests with mfx


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: st: RE: wald tests with mfx
Date   Mon, 13 Jul 2009 22:58:50 +0200

<>

You are more than welcome! I did not endorse your research strategy as I do
not think that what you are attempting is necessary, but on a technical
level, you can get your hands on the desired returned result in this
fashion.

Stata provides a full array of postestimation tools for every estimation
command, and this list is usually exhaustive. If you want the -vce- of the
original estimation, you can get it like this:

***
sysuse auto, clear
generate wgt=weight/1000
tobit mpg wgt gear_ratio, ll(17)
estat vce
***

HTH
Martin

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Rich Steinberg
Gesendet: Montag, 13. Juli 2009 22:51
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: RE: wald tests with mfx

Thanks for responding, and so quickly.  Good answer, but I learned from 
following your advice that this reproduces only the standard errors, not 
the covariances I would need for a Wald test.  I don't see an e( ) that 
saves the vce.  And I can't use the vce from the original tobit because 
the sample is changing.

Martin Weiss wrote:
> <>
>
> " For the latter, I know from the Help file that mfx saves what I need as 
> e(Xmfx_se_dydx), but I can't figure out how to see that."
>
> ***
> sysuse auto, clear
> generate wgt = weight/100
> tobit mpg wgt len tu head, /*
> */ ll(17) ul(24)
>
> mfx compute, /*
> */ predict(e(17,24))
>
> mat l e(Xmfx_se_dydx)
> mat A=  e(Xmfx_se_dydx)
> matrix list A
>
> di A[1,3]
> ***
>
> HTH
> Martin
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Rich Steinberg
> Sent: Montag, 13. Juli 2009 22:10
> To: statalist@hsphsun2.harvard.edu
> Subject: st: wald tests with mfx
>
> As a relatively unsophisticated user, I have tried for a few hours and 
> failed to solve the following problem.  After running tobit, I want to 
> test for the equality of marginal effects for the unconditional 
> observable dependent variable.  No problem with mfx or dtobit.  But I 
> don't want to evaluate these marginal effects test at the mean, median 
> or zero of the full sample prior to testing.  Instead, I want to use the 
> estimates from the full sample, but evaluate the marginal effect at 
> means of various subsamples.  So I have, for example:
>
> tobit totgiv $income $control, ll vce(cluster fid68)
> mfx if welfare01>0, pred(ystar(0,.))
>
> Now, I want to test for the equality of two elements of $income in this 
> subsample.  But everything I try works on the tobit coefficients, not 
> the mfx output.  So how do I retrieve this for a "test" command 
> (ideally) or even display the vce from the mfx to do the test by hand? 
>
> For the latter, I know from the Help file that mfx saves what I need as 
> e(Xmfx_se_dydx), but I can't figure out how to see that. This should be 
> easy, but stumped me.
>
> Thanks everyone.
>
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