Re: st: mlogit vs mprobit

[Richard Williams <Richard.A.Williams.5@ND.edu>]

At 10:16 AM 3/24/2006, Andr� 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?
>
> Thanks,
> Andr�
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)


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Richard Williams, Notre Dame Dept of Sociology
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