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From |
"Bartus Tamás" <tamas.bartus@uni-corvinus.hu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Marginal effects in Stata 11 (margins vs margeff) |

Date |
Wed, 16 Sep 2009 12:05:47 +0200 |

Dear Markus, The differences in standard errors and z statistics are very small. Nevertheless, margeff reports partial changes caused by unit changes instead of the effects of marginal changes. Tamas ------------------------------------------------ Tamas Bartus, PhD Associate Professor, Institute of Sociology and Social Policy Corvinus University, Budapest 1093 Budapest, Közraktár utca 4-6. Phone: +36-1-482-7301 Fax: +36-1-482-7348 Homepage: http://web.uni-corvinus.hu/bartus ----- Eredeti üzenet ----- Feladó: Markus Hahn <mhahn@unimelb.edu.au> Dátum: Szerda, Szeptember 16, 2009 6:50 de Tárgy: st: Marginal effects in Stata 11 (margins vs margeff) Címzett: statalist@hsphsun2.harvard.edu > Dear Stata listers, > > I am currently playing around with the new factor variable syntax and > the new margins command. I have re-specified my regression models by > using the new syntax (i.education, etc.) so that I can use the margins > command to compute average marginal effects. I have found that by doing > this, the computation is very slow compared, for example, to the margeff > command. Here is an example (you will need to have margeff installed > (ssc install margeff)): > > . timer clear > . webuse union, clear > > . probit union age grade i.not_smsa i.south i.black > . timer on 1 > . margins, dydx(*) > . timer off 1 > > . probit union age grade not_smsa south black > . timer on 2 > . margeff, dummies(not_smsa \ south \ black) > . timer off 2 > > . timer list > > > Which creates the following output (some output ommited): > > OUTPUT MARGINS > ------------------------------------------------------------------------ > ------ > | Delta-method > | dy/dx Std. Err. z P>|z| [95% Conf. > Interval] > -------------+---------------------------------------------------------- > ------ > age | .0019934 .0003908 5.10 0.000 .0012274 > .0027593 > grade | .0114783 .0010614 10.81 0.000 .009398 > .0135585 > 1.not_smsa | -.0157848 .0057749 -2.73 0.006 -.0271033 > -.0044663 > 1.south | -.140847 .0051475 -27.36 0.000 -.150936 > -.1307581 > 1.black | .1496103 .0066016 22.66 0.000 .1366714 > .1625493 > ------------------------------------------------------------------------ > ------ > > OUTPUT MARGEFF > ------------------------------------------------------------------------ > ------ > variable | Coef. Std. Err. z P>|z| [95% Conf. > Interval] > -------------+---------------------------------------------------------- > ------ > age | .0019933 .0003908 5.10 0.000 .0012274 > .0027593 > grade | .0114771 .001061 10.82 0.000 .0093975 > .0135567 > not_smsa | -.0157848 .0057019 -2.77 0.006 -.0269603 > -.0046093 > south | -.140847 .0042921 -32.82 0.000 -.1492593 > -.1324347 > black | .1496103 .0071747 20.85 0.000 .1355482 > .1636724 > ------------------------------------------------------------------------ > ------ > > . timer list [64-bit Stata/MP (4 cores) (WINXP)] > 1: 18.38 / 1 = 18.3760 [TIME TO RUN MARGINS] > 2: 0.55 / 1 = 0.5470 [TIME TO RUN MARGEFF] > > While the coefficients are almost identical, the standard errors are > slightly different which leads to the question of which command computes > the "correct" ones. I understand that the margins command is more > convenient when computing marginal effects of interaction terms but is > there another advantage of using the slower margins command instead of > the margeff command. Is there a way to speed up the margins command? > > A related question (probably targeted at the Stata employees on this > list): > Is there a command (maybe undocumented) that creates a set of "real" > variables from factor variable statements like i.education or > i.agegroups, so that the users do not have to create the variables > themselves when using older commands that do no support the new syntax? > If is answer is no, I would be interested in how the estimation commands > that support the new syntax work under the "hood". Do those commands > create "temporary" variables before performing the estimation? I am in > particular interested in how user written commands would handle the new > syntax? > > OFF-TOPIC: It would be nice if margeff would support factor variables. > Tamas, what do you think? > > > Cheers, > Markus > > > * > * 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/ * * 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/

**References**:**st: Marginal effects in Stata 11 (margins vs margeff)***From:*Markus Hahn <mhahn@unimelb.edu.au>

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