From: Richard Williams <Richard.A.Williams.5@ND.edu>
Reply-To: statalist@hsphsun2.harvard.edu
To: statalist@hsphsun2.harvard.edu
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?
Thanks,
André
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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