Re: st: mtreatreg - marginal effects

[Partha Deb <partha.deb@hunter.cuny.edu>]

Francesca,

To answer your questions:

In the Econometrics Journal paper, standard errors for the marginal 
effects were calculated by Monte Carlo - not the effects themselves. The 
reason for doing that was that, at the time the work for that paper was 
done, I was still using Some Alternative Software, which did not (does 
not?) have a built in facility to calculate marginal effects.
It is true that -mfx- does not produce standard errors because the 
-_predict- function for -mtreatreg- fails an internal test -mfx- 
conducts . -mfx, force- gets around it - and gives correct answers.
Hope this helps.

Partha

On 2/12/2011 12:10 PM, Francesca Fabbri wrote:
> Hi,
>
> I am using mtreatreg (by Partha Deb) to estimate multinomial treatment
> effects on a continuous and on a bivariate outcome. I have 2 questions
> regarding the procedure.
>
> - In the original paper where Deb and Trivedi develop the multinomial
> treatment for a negative binomial ("Specification and simulated likelihood
> estimation of a non-normal treatment-outcome model with selection:
> Application to health care utilization", Econometrics Journal (2006),
> volume 9, pp. 307–331), the authors explain that they calculate the
> marginal effects using Montecarlo. Is this the case for mtreatreg as well,
> when the outcome variable is a probit?
>
> - And is this the reason why Stata would not calculated the standard
> errors of the marginal effects? When I run mfx after mtreatreg to obtain
> marginal effects from the multinomial+probit specification, Stata would
> not calculate the standard errors of the marginal effects, giving the
> error:
> "warning: default predict() is unsuitable for standard-error calculation;
> option nose imposed"
>
> Thanks in advance,
>
> Francesca
>
>
>
>
> Francesca
>
>
>
>
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--
Partha Deb
Professor of Economics
Director of Graduate Studies
Hunter College
ph:  (212) 772-5435
fax: (212) 772-5398
http://urban.hunter.cuny.edu/~deb/

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