Stata 15 help for ivprobit_postestimation

[R] ivprobit postestimation -- Postestimation tools for ivprobit

Postestimation commands

The following postestimation commands are of special interest after ivprobit:

Command Description ------------------------------------------------------------------------- estat classification report various summary statistics, including the classification table estat correlation report the correlation matrix of the errors of the dependent variable and the endogenous variables estat covariance report the covariance matrix of the errors of the dependent variable and the endogenous variables lroc compute area under ROC curve and graph the curve lsens graph sensitivity and specificity versus probability cutoff ------------------------------------------------------------------------- These commands are not appropriate after the two-step estimator or the svy prefix.

The following standard postestimation commands are also available:

Command Description ------------------------------------------------------------------------- contrast contrasts and ANOVA-style joint tests of estimates * estat ic Akaike's and Schwarz's Bayesian information criteria (AIC and BIC) estat summarize summary statistics for the estimation sample estat vce variance-covariance matrix of the estimators (VCE) estat (svy) postestimation statistics for survey data estimates cataloging estimation results *+ forecast dynamic forecasts and simulations + hausman Hausman's specification test lincom point estimates, standard errors, testing, and inference for linear combinations of coefficients + lrtest likelihood-ratio test; not available with two-step estimator margins marginal means, predictive margins, marginal effects, and average marginal effects marginsplot graph the results from margins (profile plots, interaction plots, etc.) nlcom point estimates, standard errors, testing, and inference for nonlinear combinations of coefficients predict predictions, residuals, influence statistics, and other diagnostic measures predictnl point estimates, standard errors, testing, and inference for generalized predictions pwcompare pairwise comparisons of estimates * suest seemingly unrelated estimation test Wald tests of simple and composite linear hypotheses testnl Wald tests of nonlinear hypotheses ------------------------------------------------------------------------- * estat ic, forecast, and suest are not appropriate after ivprobit, twostep. + forecast, hausman, and lrtest are not appropriate with svy estimation results.

Syntax for predict

After ML or twostep

predict [type] newvar [if] [in] [, statistic rules asif]

After ML

predict [type] {stub*|newvarlist} [if] [in] , scores

statistic Description ------------------------------------------------------------------------- Main xb linear prediction; the default stdp standard error of the linear prediction pr probability of a positive outcome accounting for endogeneity; not available with two-step estimator ------------------------------------------------------------------------- These statistics are available both in and out of sample; type predict ... if e(sample) ... if wanted only for the estimation sample.

Menu for predict

Statistics > Postestimation

Description for predict

predict creates a new variable containing predictions such as linear predictions, standard errors, and probabilities.

Options for predict

+------+ ----+ Main +-------------------------------------------------------------

xb, the default, calculates the linear prediction.

stdp calculates the standard error of the linear prediction.

pr calculates the probability of a positive outcome accounting for endogeneity. pr is not available with the two-step estimator.

rules requests that Stata use any rules that were used to identify the model when making the prediction. By default, Stata calculates missing for excluded observations. rules is not available with the two-step estimator.

asif requests that Stata ignore the rules and the exclusion criteria and calculate predictions for all observations possible using the estimated parameters from the model. asif is not available with the two-step estimator.

scores, not available with twostep, calculates equation-level score variables.

For models with one endogenous regressor, four new variables are created.

The first new variable will contain the first derivative of the log likelihood with respect to the probit equation.

The second new variable will contain the first derivative of the log likelihood with respect to the reduced-form equation for the endogenous regressor.

The third new variable will contain the first derivative of the log likelihood with respect to atanh(rho).

The fourth new variable will contain the first derivative of the log likelihood with respect to ln(sigma).

For models with p endogenous regressors, p + {(p + 1)(p + 2)}/2 new variables are created.

The first new variable will contain the first derivative of the log likelihood with respect to the probit equation.

The second through (p + 1)th new variables will contain the first derivatives of the log likelihood with respect to the reduced-form equations for the endogenous variables in the order they were specified when ivprobit was called.

The remaining score variables will contain the partial derivatives of the log likelihood with respect to s[2,1], s[3,1], ..., s[p+1,1], s[2,2], ..., s[p+1,2], ..., s[p+1,p+1], where s[m,n] denotes the (m,n) element of the Cholesky decomposition of the error covariance matrix.

Syntax for margins

margins [marginlist] [, options]

margins [marginlist] , predict(statistic ...) [predict(statistic ...) ...] [options]

statistic Description ------------------------------------------------------------------------- xb linear prediction; the default pr probability of a positive outcome accounting for endogeneity; not available with two-step estimator stdp not allowed with margins -------------------------------------------------------------------------

Statistics not allowed with margins are functions of stochastic quantities other than e(b).

For the full syntax, see [R] margins.

Menu for margins

Statistics > Postestimation

Description for margins

margins estimates margins of response for linear predictions and probabilities.

Syntax for estat

Correlation matrix

estat correlation [, border(bspec) left(#) format(%fmt)]

Covariance matrix

estat covariance [, border(bspec) left(#) format(%fmt)]

Menu for estat

Statistics > Postestimation

Description for estat

estat correlation displays the correlation matrix of the errors of the dependent variable and the endogenous variables.

estat covariance displays the covariance matrix of the errors of the dependent variable and the endogenous variables.

estat correlation and estat covariance are not allowed after the ivprobit two-step estimator.

Options for estat

+------+ ----+ Main +-------------------------------------------------------------

border(bspec) sets border style of the matrix display. The default is border(all).

left(#) sets the left indent of the matrix display. The default is left(2).

format(%fmt) specifies the format for displaying the individual elements of the matrix. The default is format(%9.0g).

Examples

Setup . webuse laborsup . ivprobit fem_work fem_educ kids (other_inc = male_educ)

Compute average marginal effect of fem_educ on probability that a woman works . margins, dydx(fem_educ) predict(pr)

Same as above, but specify no children . margins, dydx(fem_educ) predict(pr) at(kids=0)


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