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From |
Mélanie Lefèvre <Melanie.Lefevre@kuleuven.be> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: Marginal effet and s.e. after logit2 |

Date |
Thu, 5 Dec 2013 09:53:07 +0000 |

Dear statalist users, I am trying to use -margins- after the command logit2 (similar to cluster2, from here: http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/se_programming.htm). However, logit2 does not support the predict option p. . logit2 Y X1 X2, fcluster(state) tcluster(month) (output hidden) . estimates esample: . margins, dydx(t_7) predict(p) Warning: cannot perform check for estimable functions. option p not allowed r(198); The xb option (default in logit2) works well: . margins, dydx(X1) Warning: cannot perform check for estimable functions. Average marginal effects Number of obs = 1342637 Expression : Linear prediction, predict() dy/dx w.r.t. : X1 ------------------------------------------------------------------------------ | Delta-method | dy/dx Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- X1 | -.0270068 .0088744 -3.04 0.002 -.0444003 -.0096132 ------------------------------------------------------------------------------ I would like to obtain the marginal effect, as well as a confidence interval for it, expressed in probabilities rather than in linear prediction. I tried to calculate the marginal effect and the s.e. by hand: . predict xb, xb . gen me=exp(xb)/(1+exp(xb))^2*_b[X1] . matrix V=get(VCE) . matrix J=r(Jacobian) . matrix M= J*V*J' . display sqrt(M[1,1]) The variable 'me' gives me the marginal effect but the s.e. are not displayed because logit2 does not return the Jacobian. I tries the same procedure after logit and it gives me exactly the same result as margins. I also tried to modify the logit2 ado file to make it accept the p option but fail to do so. Does someone has any idea of how I could obtain the correct standard errors for the marginal effect (expressed in probabilities) after the command loigit2? Thanks a lot. Mélanie. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

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