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From | Christopher Baum <baum@bc.edu> |
To | "Torres, Margarita Liliana Vides Morales de" <margarita.l.torres@Vanderbilt.Edu> |
Subject | st: Re: ivprobit marginal effects |
Date | Tue, 2 Mar 2010 14:07:43 -0500 |
That is because, as help ivprobit postestimation indicates, the default action of predict is to compute xb, the latent variable, rather than the probability of a positive outcome, option pr. Using the example from help ivprobit: . webuse laborsup, clear . ivprobit fem_work fem_educ kids (other_inc = male_educ), nolog Probit model with endogenous regressors Number of obs = 500 Wald chi2(3) = 163.88 Log likelihood = -2368.2062 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- other_inc | -.0542756 .0060854 -8.92 0.000 -.0662027 -.0423485 fem_educ | .211111 .0268648 7.86 0.000 .1584569 .2637651 kids | -.1820929 .0478267 -3.81 0.000 -.2758316 -.0883543 _cons | .3672083 .4480724 0.82 0.412 -.5109975 1.245414 -------------+---------------------------------------------------------------- /athrho | .3907858 .1509443 2.59 0.010 .0949403 .6866313 /lnsigma | 2.813383 .0316228 88.97 0.000 2.751404 2.875363 -------------+---------------------------------------------------------------- rho | .3720374 .1300519 .0946561 .5958135 sigma | 16.66621 .5270318 15.66461 17.73186 ------------------------------------------------------------------------------ Instrumented: other_inc Instruments: fem_educ kids male_educ ------------------------------------------------------------------------------ Wald test of exogeneity (/athrho = 0): chi2(1) = 6.70 Prob > chi2 = 0.0096 . margins Predictive margins Number of obs = 500 Model VCE : OIM Expression : Fitted values, predict() ------------------------------------------------------------------------------ | Delta-method | Margin Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- _cons | -.1417621 .0624493 -2.27 0.023 -.2641605 -.0193638 ------------------------------------------------------------------------------ . margins, pred(pr) Predictive margins Number of obs = 500 Model VCE : OIM Expression : Probability of positive outcome, predict(pr) ------------------------------------------------------------------------------ | Delta-method | Margin Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- _cons | .4627798 .0161664 28.63 0.000 .4310943 .4944654 ------------------------------------------------------------------------------ . margins, dydx(_all) pred(pr) Average marginal effects Number of obs = 500 Model VCE : OIM Expression : Probability of positive outcome, predict(pr) dy/dx w.r.t. : other_inc fem_educ kids male_educ ------------------------------------------------------------------------------ | Delta-method | dy/dx Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- other_inc | -.014015 .0009836 -14.25 0.000 -.0159428 -.0120872 fem_educ | .0545129 .0066007 8.26 0.000 .0415758 .06745 kids | -.0470199 .0123397 -3.81 0.000 -.0712052 -.0228346 male_educ | (omitted) ------------------------------------------------------------------------------ . mfx compute Marginal effects after ivprobit y = Fitted values (predict) = -.14176214 ------------------------------------------------------------------------------ variable | dy/dx Std. Err. z P>|z| [ 95% C.I. ] X ---------+-------------------------------------------------------------------- other_~c | -.0542756 .00609 -8.92 0.000 -.066203 -.042348 49.6023 fem_educ | .211111 .02686 7.86 0.000 .158457 .263765 12.046 kids | -.1820929 .04783 -3.81 0.000 -.275832 -.088354 1.976 ------------------------------------------------------------------------------ . mfx compute, pred(pr) Marginal effects after ivprobit y = Probability of positive outcome (predict, pr) = .44363395 ------------------------------------------------------------------------------ variable | dy/dx Std. Err. z P>|z| [ 95% C.I. ] X ---------+-------------------------------------------------------------------- other_~c | -.0214364 .00242 -8.87 0.000 -.026176 -.016697 49.6023 fem_educ | .0833791 .01057 7.89 0.000 .062664 .104094 12.046 kids | -.0719183 .01888 -3.81 0.000 -.108927 -.03491 1.976 ------------------------------------------------------------------------------ . end of do-file . Note that -margins- in Stata 11 gives you the same fitted value of -0.1418 as does mfx_compute. Likewise, margins, pred(pr) gives you a probability. That value agrees with mfx compute, pred(pr). The marginal effects from the two commands do not agree because mfx compute evaluates the derivatives at the point of means, whereas margins computes average marginal effects. help mfx shows you that the default setting is 'discrete', that is, evaluate the marginal effect of a dummy going from 0->1. 'nodiscrete' turns that off. For the margins command, it is the continuous option, which is not the default. Dummies by default are treated as dummies by both mfx and margins. Kit Baum | Boston College Economics and DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html On Mar 2, 2010, at 11:56 AM, Torres, Margarita Liliana Vides Morales de wrote: > Dear Kit: > I am working on a model using ivprobit over 8 different sets of data, when > looking at the result from mfx command (Stata10) all of them are negative > and its absolute value greater than 1. > As an example one of the result says: > Marginal effects after ivprobit > y = Fitted valued (predict) > = -2.02 How should I interpret this number? > At the same time the first derivative dy/dx are the same as the regression > coefficients. > One last thing where can I find documentation of treatment of a dummy in > the marginal effected calculated by stata 10? the help of mfx just said > that is calculated with their mean, does it apply for the dummies variable > as well? > > When working with probit mfx result is positive lower than 1. and the > coefficients are different from the regression, all is perfect. > > Thanks in advance. > > Liliana Vides > * * 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/