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Re: st: biprobit with endogenous regresor and marginal effects


From   Lina C <linacs81@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: biprobit with endogenous regresor and marginal effects
Date   Wed, 17 Aug 2011 15:39:36 +0100

Dear Austin, Thanks for your reply and help. I checked the
presentation and you suggested that a binary model with a binary
endogenous regressor is ok to estimated via 2SLS, what changes is that
2SLS gives the LATE while with biprobit is possible to calculate the
ATE, or TOT..Following this, the coefficients from 2SLS and the
Marginal Effect of biprobit (calculated with mfx, margins or what you
suggested) shouldn't been the same..should they? Thank you.

2011/8/17 Austin Nichols <austinnichols@gmail.com>:
> Lina C <linacs81@gmail.com> :
> The point of that message (with perhaps the implied threat of
> incorrect results from -mfx- or -margins-) was that many different
> marginal effects are possible, and one can manipulate the predicted
> probabilities and samples over which one averages differences in
> predicted probabilities to estimate the desired population/dgp
> quantity, but one has to carefully specify the estimand first; see
> also
> http://stata.com/meeting/chicago11/materials/chi11_nichols.pdf
>
> On Wed, Aug 17, 2011 at 3:50 AM, Lina C <linacs81@gmail.com> wrote:
>> Hello,
>>
>> I'm estimating a bivariate probit model with an endogenous regressor
>> (that is instrumented). I have been following the threat (see below)
>> where it is suggested to calculate manually the marginal effects given
>> that -mfx neither -margins would work to estimate the marginal
>> effects.
>>
>> Y1 = Y2 X
>> Y2 = Z X
>>
>> I have two questions:
>> 1. I have calculated the marginal effects as proposed below. However,
>> they have a different sign to the original coefficient of the
>> biprobit. I was wondering if this could happen or if there has been
>> some improvement to calculate the marginal effects in those cases in
>> Stata.
>>
>> 2. Is it common for the standard errors using the iprobit to be large
>> in comparison to running a 2SLS with 2 binary outcomes?
>>
>> Thank you.
>>
>> Lina.
>>
>>
>>
>> -----Original Message-----
>> From: [hidden email]
>> [mailto:[hidden email]] On Behalf Of Austin Nichols
>> Sent: segunda-feira, 1 de Fevereiro de 2010 18:03
>> To: [hidden email]
>> Subject: Re: st: marginal effects in biprobit and average treatment effect
>> in switching probit
>>
>> Paula Albuquerque <[hidden email]>:
>> -mfx- is not really appropriate (and -margins- will refuse to participate).
>> You need to fully specify what margin you are thinking about to get a
>> sensible marginal effect. Try calculating the marginal effect of X using
>> predictions after your -biprobit- and after the user-written command.
>> E.g.you might want to calculate the conditional prob of Y=1 given X=1
>> less the cond prob of Y=1 given X=0, letting X=1 and X=0 in turn for
>> each observation, and then averaging over observations.
>>
>> sysuse nlsw88, clear
>> g x=race==1
>> g y=married
>> biprobit (y=x grade south smsa) (x=industry occupation union)
>> mfx
>> * margins, dydx(*)
>> g wasx=x
>> replace x=1
>> predict p1a, p11
>> predict p1b, p10
>> predict p1c, p01
>> predict p1d, p00
>> g p1=p1a/(p1a+p1c)
>> replace x=0
>> predict p0a, p11
>> predict p0b, p10
>> predict p0c, p01
>> predict p0d, p00
>> g p0=p0b/(p0b+p0d)
>> replace x=wasx
>> drop wasx
>> g dp=p1-p0
>> su dp
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