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From |
Stephen O Neill <stepheno_neill_1999@yahoo.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Margeff for lagged dependent variable |

Date |
Wed, 24 Mar 2010 09:47:16 -0700 (PDT) |

Dear Statalist, I am estimating the average partial effects for dynamic probit models by recaling the betas by 1/sqrt(1+(sigma_u)^2) and then using margeff on Stata 10. I have also calculated the partial effects using the following code: scale= 1/sqrt(1+(sigma_U)^2) * For binary variables: gen xdh0_`i'=(xdh*scale-_b[`i']*`i'*scale) gen xdh1_`i'=(xdh*scale-_b[`i']*`i'*scale+_b[`i']*scale) gen double pe_`i' =normal(xdh1_`i') - normal(xdh0_`i') sum pe_`i' * For continuous variables: gen double pe_`i' =normalden(xdh0*scale)*_b[`i']*scale sum pe_`i' When I compare the estimates they all match with the exception of the lagged dependent variable [from margeff I get 0.244475, while manually I calculate it as 0.409561. (I want to use Margeff to calculate the standard errors) Since I am using a loop to carry out the calculations I think that it is not just a mistake in my code. I have renamed the variables and also changed the order so I think I can rule out these explanations also. I was wondering if anyone here has experienced similar issues using margeff on lagged dependent variables or if they can suggest a possible cause/solution. I don't have access to Stata11 so can't use the margins command :( Thanks, Stephen * * 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/

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