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Re: st: margins on continuous interactions.

From (Jeff Pitblado, StataCorp LP)
Subject   Re: st: margins on continuous interactions.
Date   Thu, 05 Dec 2013 11:23:43 -0600

Natasha Agarwal <> is using -margins- after -xtreg, fe- but
is getting (not estimable) for the requested marginal effect:

> I estimate a fixed effect model xtreg y x1 x2 x3*x4 year dummies, fe
> vce(robust)
> where y, x1, x2, are firm level variables. x3 changes over
> industry-region-year. while x4 changes only over industry. After this, I
> estimate margins, dydx(x3) at(x4 = 0.15). I get a not estimable error. I
> then try to use the noestimcheck option, and state margins, dydx(x3)
> at(x=0.15) noestimcheck. and I get an output. However I am not sure whether
> it is correct to use the noestimcheck option here.

Natasha identifies several grouping variables (firm, industry, region, year)
but does not indicate which grouping variable was -xtset- as the panel
variable so it is very difficult to reproduce the problem.

Even if we cannot have access to Natasha's data, showing us all the relevant
Stata code would have been more helpful.  Something like

> The code I used was
> ***** BEGIN:
> xtset ???panelvariable???
> xtreg y x1 x2 c.x3#c.x4 i.year, fe vce(robust)
> margins, dydx(x3) at(x4=0.15)
> ***** END:

I suspect Natasha is experiencing scaling problems.  -margins- can have a
difficult time in checking for estimable functions when crossed continuous
variables are on very different scales.

If my suspicions are correct, then I imagine the advice at the end of the
following post is relevant for Natasha as well.

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