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Re: st: margins with nocons option in Discrete choice model


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: margins with nocons option in Discrete choice model
Date   Wed, 19 Jun 2013 15:32:04 -0400

Is this the same as the model estimated by hetprob? If not why not? If a built-in program already exists for what you want to do then use it.

Sent from my iPad

On Jun 19, 2013, at 2:50 PM, Robert Duval <rduval@gmail.com> wrote:

> Dear Friends,
> 
> I estimate a discrete choice model with heteroskedasticity (similar to
> a bivariate probit but with some variations).
> 
> This means that in my likelihoold i have terms that look like
> 
> P(y=1)=F(xb1/exp(zb2))
> 
> where xb1 is the main index of interest and exp(zb2) is a term
> included to model potential heteroskedasticity (see Wooldridge's
> EACSPD (2010) p.601-602).
> 
> The index zb2 must exclude a constant. However, when I run margins
> after the model has estimated I get the message that margins are
> non-estimable (I have dummies entering zb2).
> 
> I checked the H matrix and indeed there are entries different than
> (-1,0,1) associated to the zb2 equation. Also, I read in this list
> that for some reason margins doesn't always produces results when the
> 'nocons' option is specified (as in my case for the equation zb2).
> 
> My question is whether it would be OK to proceed and estimate the
> margins with the noestimcheck option for this type of (heteroskedastic
> DV) models.
> 
> Many thanks in advance,
> robert
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