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From |
Markus Hahn <[email protected]> |

To |
[email protected] |

Subject |
st: Marginal effects in Stata 11 (margins vs margeff) |

Date |
Wed, 16 Sep 2009 14:48:55 +1000 |

Dear Stata listers, I am currently playing around with the new factor variable syntax and the new margins command. I have re-specified my regression models by using the new syntax (i.education, etc.) so that I can use the margins command to compute average marginal effects. I have found that by doing this, the computation is very slow compared, for example, to the margeff command. Here is an example (you will need to have margeff installed (ssc install margeff)): . timer clear . webuse union, clear . probit union age grade i.not_smsa i.south i.black . timer on 1 . margins, dydx(*) . timer off 1 . probit union age grade not_smsa south black . timer on 2 . margeff, dummies(not_smsa \ south \ black) . timer off 2 . timer list Which creates the following output (some output ommited): OUTPUT MARGINS ------------------------------------------------------------------------ ------ | Delta-method | dy/dx Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------- ------ age | .0019934 .0003908 5.10 0.000 .0012274 .0027593 grade | .0114783 .0010614 10.81 0.000 .009398 .0135585 1.not_smsa | -.0157848 .0057749 -2.73 0.006 -.0271033 -.0044663 1.south | -.140847 .0051475 -27.36 0.000 -.150936 -.1307581 1.black | .1496103 .0066016 22.66 0.000 .1366714 .1625493 ------------------------------------------------------------------------ ------ OUTPUT MARGEFF ------------------------------------------------------------------------ ------ variable | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------- ------ age | .0019933 .0003908 5.10 0.000 .0012274 .0027593 grade | .0114771 .001061 10.82 0.000 .0093975 .0135567 not_smsa | -.0157848 .0057019 -2.77 0.006 -.0269603 -.0046093 south | -.140847 .0042921 -32.82 0.000 -.1492593 -.1324347 black | .1496103 .0071747 20.85 0.000 .1355482 .1636724 ------------------------------------------------------------------------ ------ . timer list [64-bit Stata/MP (4 cores) (WINXP)] 1: 18.38 / 1 = 18.3760 [TIME TO RUN MARGINS] 2: 0.55 / 1 = 0.5470 [TIME TO RUN MARGEFF] While the coefficients are almost identical, the standard errors are slightly different which leads to the question of which command computes the "correct" ones. I understand that the margins command is more convenient when computing marginal effects of interaction terms but is there another advantage of using the slower margins command instead of the margeff command. Is there a way to speed up the margins command? A related question (probably targeted at the Stata employees on this list): Is there a command (maybe undocumented) that creates a set of "real" variables from factor variable statements like i.education or i.agegroups, so that the users do not have to create the variables themselves when using older commands that do no support the new syntax? If is answer is no, I would be interested in how the estimation commands that support the new syntax work under the "hood". Do those commands create "temporary" variables before performing the estimation? I am in particular interested in how user written commands would handle the new syntax? OFF-TOPIC: It would be nice if margeff would support factor variables. Tamas, what do you think? Cheers, Markus * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Marginal effects in Stata 11 (margins vs margeff)***From:*"Bartus Tamás" <[email protected]>

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