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Re: st: xtlogit, margins


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtlogit, margins
Date   Sun, 4 Nov 2012 10:11:31 +0100

On Fri, Nov 2, 2012 at 6:15 PM, Seliger  Florian <seliger@kof.ethz.ch> wrote:
> my question is basically whether I can use
> margins, dydx(*)
> after xtlogit, re and xtlogit, fe in order to calculate average marginal effects,
> what margins, dydx(*) will tell me and whether there might be problems in the panel context (the mfx command understates marginal effects in this context, see Cameron, Trivedi, 2009, Microeconometrics using Stata, p.613). I have to say that I am always struggling with the margins command and I am still unsure what all the options do.

With marginal effects one can make a distinction between marginal
effects evaluated at average or other meaningful values of the
explanatory variables and average marginal effects. The problem with
panel data methods is that you don't add all your variables to your
model. These unobserved group level variables are captured by the
group level variance term. -margins, dydx(*)- now gives you a hybrid
version; it fixes the unobserved group level variables at their means,
while averaging over the observed explanatory variables. So I don't
think that that is quite what you want.

> In addition, I have an interaction effect
> (xtlogit depvar ind1 ind2 ind1Xind2 controls),
> not using the factor variable language in order to use inteff.

You have to choose: either you use -margins- but than you have to use
factor variables for your interactions or you don't use factor
variables but than you should not use -margins-

> I am not sure if inteff is outdated (meaning that margins can do the same, but I don't know how) and whether it is appropriate in this case.

For interaction effects I don't think you should use marginal effects
at all, see:
<http://www.stata.com/statalist/archive/2010-08/msg00968.html>

Hope this helps,
Maarten

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------

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