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From |
Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Calculating margins after biprobit |

Date |
Tue, 6 Dec 2011 10:39:32 -0800 |

I corrected you based on what you sent to the list. As in the example I sent, you need to enter your model in Stata with the included exogenous variables in the main/"second stage" regression and all exogenous variables in the "first stage" regression. T On Tue, Dec 6, 2011 at 9:47 AM, Wakeman, Simon <Simon.Wakeman@esmt.org> wrote: > Thanks both for your comments. > > Tirthankar Chakravarty: I am not clear as to what is your criticism of the way I have estimated the binary outcome. Unfortunately I do not have the 2nd edition of Wooldridge's text (only the first) but from what I can gather from your example the difference is that you include Z on the RHS of both first and second equations (which is actually what I had done - I had just mistakenly omitted it). Please can you confirm. > > I am interested in precisely the marginal/partial effect you mention (P[Y1i=1|Y2i=1, Zi] - P[Y1i=1|Y2i=0, Zi]) so this is very helpful. > > urbain thierry YOGO: I still get the error message when I try the command you suggested. I can overcome this by adding "force" to the options, but it does not solve the issue of whether I have a potential problem. > > Simon > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Tirthankar Chakravarty > Sent: Tuesday, December 06, 2011 12:10 PM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: Calculating margins after biprobit > > Two comments: > > 1) The way that you have estimated the binary outcome with binary endogenous variables model using -biprobit- is not correct. Here is a replication of an example in Wooldridge, "Econometric Analysis of Cross-Section and Panel Data", 2nd ed., 2010, MIT Press, to be found in table 15.2, pg. 598: > > ********************************************************************************* > use http://fmwww.bc.edu/ec-p/data/wooldridge2k/LABSUP, clear biprobit (worked=nonmomi educ c.age##c.age black hispan morekids) /// > (morekids=nonmomi educ c.age##c.age black hispan samesex) > ********************************************************************************* > > Here "morekids" is the binary endogenous variable and "worked" is the binary outcome. Note how the model is entered in Stata. The coefficient on the binary endogenous variable is -0.703, as reported in the text. > > 2) It is important to be sure what you mean by marginal/partial effects in this context. One such quantity of interest, which can be called partial effect of a change in the binary endogenous variable, for an individual would be: > > P[Y1i=1|Y2i=1, Zi] - P[Y1i=1|Y2i=0, Zi] > > where Y1 is the binary outcome and Y2 is the binary endogenous variable; Z are all the exogenous variables in the system. This can be constructed in Stata as the nonlinear prediction: > > *********************************** > predictnl probch = predict(pcond1) - /// > predict(p10)/(1-predict(pmarg2)) > *********************************** > > after the estimation above. The sample average of this quantity (use > -summ-) is the average partial effect, where partial effect is defined as above. Other "partial effects" of interest can be defined. > > Please see section 15.7.3 in Prof. Woodridge's book for an excellent discussion of these issues. > > T > > On Mon, Dec 5, 2011 at 12:37 PM, urbain thierry YOGO <yogout@gmail.com> wrote: >> Try the following command >> margins, dydx(_all) post >> this is equivalent to mfx compute, predict(p11) with >> (p11)=(depvar1=1, depvar2=1) however a simple and general way is the >> following >> >> The marginal effects for, Pr(depvar1=1, depvar2=1), are mfx compute, >> predict(p11) The marginal effects for Pr(depvar1=1, depvar2=0) are mfx >> compute, predict(p10) The marginal effects for Pr(depvar1=0, >> depvar2=1) are mfx compute, predict(p01) The marginal effects for >> Pr(depvar1=0, depvar2=0) are mfx compute, predict(p00) >> >> >> >> 2011/12/5, Wakeman, Simon <Simon.Wakeman@esmt.org>: >>> I am investigating the effect of a binary variable X on a binary variable Y, >>> where X is potentially endogenous. I estimated a biprobit: >>> biprobit (Y = X ) (X = Z). >>> >>> However, when I use the following margins command >>> margins, dydx(X) over(X) >>> I get the error message: >>> "default prediction is a function of possibly stochastic quantities other >>> than e(b)" >>> >>> I also tried mfx but it does not seem to produce a marginal effect for X. >>> >>> I would much appreciate if anyone can tell me how to obtain the marginal >>> effect of X on Y. >>> >>> Thanks for your help. >>> >>> Simon >>> >>> >>> * >>> * 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/ >>> >> >> >> -- >> *Urbain Thierry YOGO >> P.h.D candidate in Economics* >> * >> * 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/ > > > > -- > Tirthankar Chakravarty > tchakravarty@ucsd.edu > tirthankar.chakravarty@gmail.com > > * > * 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/ > > * > * 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/ -- Tirthankar Chakravarty tchakravarty@ucsd.edu tirthankar.chakravarty@gmail.com * * 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/

**References**:**st: Calculating margins after biprobit***From:*"Wakeman, Simon" <Simon.Wakeman@esmt.org>

**Re: st: Calculating margins after biprobit***From:*urbain thierry YOGO <yogout@gmail.com>

**Re: st: Calculating margins after biprobit***From:*Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>

**RE: st: Calculating margins after biprobit***From:*"Wakeman, Simon" <Simon.Wakeman@esmt.org>

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