Re: st: problem with factor variable and margins.

[Rich Steinberg <rsteinbe@iupui.edu>]

Thanks Vince.  A third workaround is to rename the variable so the 
factor variable is no longer an abbreviation of another name.

Vince Wiggins, StataCorp wrote:
> Rich Steinberg <rsteinbe@iupui.edu> has found an inconsistency in the way the
> -dydx()- option of -margins- handles the varlist that it takes as its
> argument.  -dydx()- is the option that specifies the covariates in the model
> for which you want marginal effects computed.  It currently fails to identify
> factor variables in that list when there are other variables in the model that
> begin with the name of the factor variable.
>
> Rich's example is a relatively complicated -tobit- regression, but we can
> reproduce the problem with the auto dataset and -regress-.  If we type,
>
>     . regress mpg i.foreign
>     . margins, dydx(foreign)
>
> -margins- reports the marginal effect (or more correctly the discrete
> difference effect) of -foreign- on our response.
>
> If, however, we add a covariate that begins with "foreign" to our model, for
> example
>
>     . gen foreign_tr = foreign*trunk
>     . regress mpg i.foreign foreign_tr
>
> Now, typing, 
>
>     . margins, dydx(foreign)
>
> does NOT produce the marginal effect for -foreign-.  It produces only the
> marginal effect for -foreign_tr-.  The variable foreign_tr causes -margins- to
> ignore the factor variable -foreign-.
>
> This is a mechanical parsing problem, and we will fix this behavior in a
> future update.
>
> Until the problem is fixed, there are two easy workarounds.
>
> Rich is taking advantage of the fact that the -dydx()- option of -margins-
> treats the base name of factor variables as though you typed the full list of
> level variables which the factor represents.  So, when, we type,
>
>     . margins, dydx(foreign)
>
> Stata sees
>
>     . margins, dydx(1.foreign)
>
> This shorthand notation generalizes to factor variables with multiple levels.
>
>     . margins, dydx(rep78)
>
> is equivalent to 
>
>     . margins, dydx(2.rep78 3.rep78 4.rep78 5.rep78)
>
> Until we have improved the parsing, Rich can explicitly specify the levels of
> the factors.  For example, 
>
>     . margins, dydx(1.foreign)
>
> If Rich is willing to tolerate seeing marginal effects for all of his
> covariates, he can also work around the parsing problem by requesting marginal
> effects for all of his covariates,
>
>     . margins, dydx(*)
>
>
> Phil Ender <ender97@gmail.com> raises a more substantive issue, 
>  
>   
> > I don't think the problem is with -margins- but with the fact that
> > you created the interaction outside of your model.  If you create
> > the interaction using the factor variables in the model then
> > -margins- not only identifies all of the terms but produces marginal
> > effects that take into account the interactions.  Without
> > reproducing you entire model, it would look something like this:
> >
> > . tobit dv i.naic c.ainc i.naic#c.ainc ...
> >     
>
> Rich is currently creating some interactions in his model by creating
> variables for this interactions prior to estimating his model.  This is what
> we did above with the variable -foreign_tr-.
>
>     . regress mpg i.foreign foreign_tr trunk
>     . margins, dydx(1.foreign)
>
> If, however, we estimate an equivalent regression model, using factor-variable
> notation to create the interactions,
>
>     . regress mpg i.foreign##c.trunk
>
> then request the marginal effect of -foreign-, 
>
>     . margins, dydx(1.foreign)
>
> We asking -margins- to estimate two very different things.  Here are the
> results from the first estimation,
>
> Average marginal effects                          Number of obs   =         74
> Model VCE    : OLS
>
> Expression   : Linear prediction, predict()
> dy/dx w.r.t. : 1.foreign
>
> ------------------------------------------------------------------------------
>              |            Delta-method
>              |      dy/dx   Std. Err.      z    P>|z|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
>    1.foreign |  -.5136233   4.389711    -0.12   0.907    -9.117299    8.090052
> ------------------------------------------------------------------------------
> Note: dy/dx for factor levels is the discrete change from the base level.
>
> And, here are the results from the second, 
>
> . margins, dydx(1.foreign)
>
> Average marginal effects                          Number of obs   =         74
> Model VCE    : OLS
>
> Expression   : Linear prediction, predict()
> dy/dx w.r.t. : 1.foreign
>
> ------------------------------------------------------------------------------
>              |            Delta-method
>              |      dy/dx   Std. Err.      z    P>|z|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
>    1.foreign |   3.116336   1.401444     2.22   0.026     .3695569    5.863116
> ------------------------------------------------------------------------------
> Note: dy/dx for factor levels is the discrete change from the base level.
>
> As Phil noted, after our first estimation, -margins- does not, and cannot,
> know that there is a relationship between the variables -foreign- and
> -foreign_tr-.  -foreign_tr- is just another covariate in the model and
> -margins- computes the marginal effect of -foreign- pretending -foreign_tr- is
> just any other covariate in the model.  After our second estimation, however,
> -margins- knows about the interaction between -foreign- and -trunk-.  Because
> -margins- knows about the interaction, it can compute the total effect of
> -foreign- on the response, including the effect of the interaction.
>
>
> -- Vince
>    vwiggins@stata.com
>
>  
>  
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>   

--
Rich Steinberg
Department of Economics, 516 Cavanaugh Hall
IUPUI
Indianapolis, IN 46202-5140
317-278-7221

"Unanswered email since 1955"

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