Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Glenn Hoetker <ghoetker@igb.illinois.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Standard error of the marginal effect or predicted probability in a conditional logit |

Date |
Thu, 19 Aug 2010 12:42:51 -0500 |

Hi all. Can anyone point me towards a way to calculate the standard errors of either the marginal effects or the predicted probabilities of a conditional logit model (I suppose in the new Stata terminology, I could also mean an alternative specific conditional logit). Since this is a non-linear function of the coefficients, the Delta method seems like it might be appropriate. That would require calculating dF(x'b) dF(x'b) -------- Var(b_hat) ---------- db db which equals (I think) f(x_i b) x_i Var(b_hat) x_i f(x_i b) {the x in x_i should be x' , but that's too hard to read in ascii math) But, I'm struggling to understand how I would calculate f(x'_i b) and which x's correspond to x_i, since there are x's for each of the = possible choices in a choice set. Any leads at all would be very, very welcome. Thank you. Glenn Glenn Hoetker Julian Simon Faculty Fellow in Business Associate Professor (Law, Institute for Genomic Biology) Director, Center for International Business Education and Research Faculty Fellow, Academy for Entrepreneurial Leadership University of Illinois 217-265-4081 ghoetker@illinois.edu http://www.business.uiuc.edu/ghoetker * * 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/

**Follow-Ups**:**Re: st: Standard error of the marginal effect or predicted probability in a conditional logit***From:*Maarten buis <maartenbuis@yahoo.co.uk>

- Prev by Date:
**st: RE: Replacing grouped string values with longest string value in the group** - Next by Date:
**Re: st: Replacing grouped string values with longest string value in the group** - Previous by thread:
**st: Replacing grouped string values with longest string value in the group** - Next by thread:
**Re: st: Standard error of the marginal effect or predicted probability in a conditional logit** - Index(es):