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Re: st: mlogit vs mprobit

From   Richard Williams <>
Subject   Re: st: mlogit vs mprobit
Date   Fri, 24 Mar 2006 11:17:28 -0500

At 10:16 AM 3/24/2006, André Paul wrote:
Dear all,

when I estimate successively a mlogit and a mprobit model, I get, as expected roughly the same coefficients.
However, when I compute the marginal effects, the standard errors (of the marginal effects) are much lower with mprobit. Actually, when I use mlogit, none of the marginal effects are significant, whereas, most of them become significant when I use mprobit.

Could someone give me the reason of this?

I just tried an example, and both the marginal effects and standard errors were very similar for both mlogit and mprobit. Are you sure something wasn't different between the two runs, e.g. were the samples and variables the same throughout? Did you use the -mfx- command in both cases, or a different command? Are some of the categories extremely thin, are the models having trouble converging? Perhaps you could post exactly what you did.

As a sidelight, Tamas Bartus's -margeff- command will quickly estimate the marginal effects after mlogit. Alas, it doesn't support mprobit. Note that, by default, it estimates the marginal effects a little differently than -mfx- does. If you want it to clone -mfx-'s behavior, give the command

margeff, at(mean)

Richard Williams, Notre Dame Dept of Sociology
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