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st: margeff/margins discrepancy


From   "Joanne W. Hsu" <jwhsu@umich.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: margeff/margins discrepancy
Date   Sat, 24 Apr 2010 18:18:11 -0400

Hi Statalist-ers--

I've recently started using margins to compute probit average marginal effects in Stata 11 where I had previously used margeff. I have found that although the AME coefficients are very close or identical, the standard errors reported by margins are vastly larger than those originally reported by margeff (z score of -2.21 by margins, versus -6.92).

I haven't been able to replicate discrepancies with such large magnitudes using the Stata example datasets, but from my own data (approx 230 obs), I've found that running the command

keep if e(sample)==1

prior to running margeff brings the standard error estimates in line with those reported by margins. (Using

margeff if e(sample)==1

has not yielded anything different than just running an unconditional margeff).

Does anyone have any insight on what's driving the discrepancy? My understanding is that margeff numerically computes the AME while margins does it analytically, but this shouldn't yield zscores that are 3 times as large as one another.

Thanks,

Joanne
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