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Re: AW: st: RE: wald tests with mfx
No, that is not what I want. And I've read all the online help on
postestimation tools, along with a few hours of archive search on mfx
and tobit.
What I want is the vce of the marginal effects at the mean of various
subsamples of the data. I had thought, like you, that if two marginal
effects are statistically different in the tobit evaluated at the mean
of the full sample, the same would be true when evaluated for any
subsample. But when I run mfx on various subsamples, the Z scores of
each coefficient are sensitive to the subsample. More is going on than
simply applying the McDonald and Moffitt decomposition to a different
level of censorship when I run that mfx command. Maybe that is a bug,
but my more sophisticated friend thinks that mfx at a subsample mean is
computing correctly and I am misunderstanding how to apply it to
subsamples. Thus my current query.
Martin, and anyone else who is curious, here is the research problem
that generated this strategy. We are seeing whether the marginal
propensity to make charitable donations differs with the source of
income (or annuitized equivalent for wealth variables), among other
things, testing the implicit assumption of economists that money is
money and consumption behavior of individuals does not depend on where
that money came from. So for example, we want to know if the marginal
propensity to give out of welfare transfer payments equals that out of
earned income, annuitized inheritance income, etc. A single tobit
evaluation tells us whether the coefficients on these various income
measures are equal around the mean of our full sample. But there are no
observations where the respondent received welfare income and had the
mean level of other income sources, so the comparison at the mean has no
clear interpretation of the sort we want. In our base model, we
therefore test for the equality of coefficients within each of 7
subsample means (defined by having positive levels of each of our 7
income variables). (We hope to have more advanced estimates accounting
for unmeasured heterogeneity that makes a person receiving welfare
different from a person receiving an inheritance, but we are not there
yet). Maybe we should estimate the entire tobit separately for each
subsample, but as some of the subsamples are small (particularly our
main income source of interest, inheritances) we were hoping those
regressions could be pooled because the slopes with respect to the
latent dependent variable were not significantly different in the
subsamples.
Martin Weiss wrote:
<>
You are more than welcome! I did not endorse your research strategy as I do
not think that what you are attempting is necessary, but on a technical
level, you can get your hands on the desired returned result in this
fashion.
Stata provides a full array of postestimation tools for every estimation
command, and this list is usually exhaustive. If you want the -vce- of the
original estimation, you can get it like this:
***
sysuse auto, clear
generate wgt=weight/1000
tobit mpg wgt gear_ratio, ll(17)
estat vce
***
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Rich Steinberg
Gesendet: Montag, 13. Juli 2009 22:51
An: [email protected]
Betreff: Re: st: RE: wald tests with mfx
Thanks for responding, and so quickly. Good answer, but I learned from
following your advice that this reproduces only the standard errors, not
the covariances I would need for a Wald test. I don't see an e( ) that
saves the vce. And I can't use the vce from the original tobit because
the sample is changing.
Martin Weiss wrote:
<>
" For the latter, I know from the Help file that mfx saves what I need as
e(Xmfx_se_dydx), but I can't figure out how to see that."
***
sysuse auto, clear
generate wgt = weight/100
tobit mpg wgt len tu head, /*
*/ ll(17) ul(24)
mfx compute, /*
*/ predict(e(17,24))
mat l e(Xmfx_se_dydx)
mat A= e(Xmfx_se_dydx)
matrix list A
di A[1,3]
***
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Rich Steinberg
Sent: Montag, 13. Juli 2009 22:10
To: [email protected]
Subject: st: wald tests with mfx
As a relatively unsophisticated user, I have tried for a few hours and
failed to solve the following problem. After running tobit, I want to
test for the equality of marginal effects for the unconditional
observable dependent variable. No problem with mfx or dtobit. But I
don't want to evaluate these marginal effects test at the mean, median
or zero of the full sample prior to testing. Instead, I want to use the
estimates from the full sample, but evaluate the marginal effect at
means of various subsamples. So I have, for example:
tobit totgiv $income $control, ll vce(cluster fid68)
mfx if welfare01>0, pred(ystar(0,.))
Now, I want to test for the equality of two elements of $income in this
subsample. But everything I try works on the tobit coefficients, not
the mfx output. So how do I retrieve this for a "test" command
(ideally) or even display the vce from the mfx to do the test by hand?
For the latter, I know from the Help file that mfx saves what I need as
e(Xmfx_se_dydx), but I can't figure out how to see that. This should be
easy, but stumped me.
Thanks everyone.
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--
Rich Steinberg
Department of Economics, 516 Cavanaugh Hall
IUPUI
Indianapolis, IN 46202-5140
317-278-7221
"Unanswered email since 1955"
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