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From |
Luca Fumarco <luca.fumarco@lnu.se> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: test difference in marginal effects for the same dummy variable, computed first as difference and then as derivative |

Date |
Mon, 4 Mar 2013 21:21:14 +0100 |

Dear statalisters, I would like to test whether the difference between the marginal effects of a dummy varaible, obtained first by computing the difference and then by taking the derivative, is statistically significant. I want to implement this test in order to justify the utilization of the derivative. The model I am suing is the probit model; my vars are y x1 x2 x3, where x1 and x2 are the dummy variables. Below you can read the syntax I am using. 1) First, I generate an identical dummy var, but with a different name. gen x1bis = x1 2) Second, I regress the probit model, compute the marginal effect of x1 computing the difference, and I store the estimate probit y i.x1 i.x2 x3, cluster(id) margins, dydx(x1) atmeans post matrix list e(b) est store mfx1 estimate query 3) Third, I regress the probit model, compute the marginal effect of x1bis taking the derivatie, and I store the estimate probit y i.x1bis i.x2 x3, cluster(id) margins, dydx(x1bis) cont atmeans post matrix list e(b) est store mfx2 estimate query 4) Eventually, I test the difference lincom _b[1.x1] - _b[1.x1bis] Stata returns the following result: ------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- (1) | 0 (omitted) . . . . ------------------------------------------------------------------------------ As you see, I control with "estimate query" what I have actually stored and the corresponding values: _b[1.x1] and _b[1.x1bis] corresponds to the estimates of the marginal effects computed in the two different ways, and their value is not the same. Is there a syntax or (worse) a methodological problem in what I am doing? Do you have any suggestion concerning a possible correction, or even concerning a different way to implement this test? Thank you very much! Luca * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: test difference in marginal effects for the same dummy variable, computed first as difference and then as derivative***From:*Joerg Luedicke <joerg.luedicke@gmail.com>

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