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st: Standar error of discrete change probit model
From
NOAM MANO <[email protected]>
To
[email protected]
Subject
st: Standar error of discrete change probit model
Date
Tue, 31 Jan 2012 15:30:14 -0500
I want to write my own do file to compute the marginal effect of
discrete change in probit model.
Following
David M. Drukker(2010) ; 2010 Italian Stata Users Group meeting
Bologna November 2010
(http://www.stata.com/meeting/italy10/drukker_sug.pdf)
Using margins to estimate partial effects
probit crash tickets traffic i.male, nolog
Or using hand
generate double xb0 = _b[tickets]*tickets + _b[traffic]*traffic + _b[_cons]
generate double de = normal(xb0 + _b[1.male]) - normal(xb0)
summarize de
The mean of de give the marginal effect. We use stata function margin
( margins , dydx(male), we will have the same value of the marginal
effect. However the standard error is different from the one obtained
by summarized de.
My question is: how to compute the standar error by hand.
I have tried this:
(normalden(xb0 + _b[1.male]) +normalden(xb0) )^2 *var(_b[1.male])
But I am not sure if it's good.
Your help will be very appreciated
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