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Standard errors of marginal effects in the heteroskedastic probit model

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  • Cornelißen, Thomas

Abstract

In non-linear regression models, such as the heteroskedastic probit model, coefficients cannot be interpreted as marginal effects. Marginal effects can be computed as a non-linear combination of the regression coefficients. Standard errors of the marginal effects needed for inference and hypothesis testing have to be derived by approximation using methods such as the delta method. This paper applies the delta method to derive analytically the standard errors of marginal effects in a heteroskedastic probit model. The computation is implemented as a Stata ado-file called mehetprob which can be downloaded from the internet. This allows to compute marginal effects at means and their standard errors in a heteroskedastic probit model faster than by numerical calculation which is implemented in the mfx routine currently available in Stata for that purposes.

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File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-320.pdf
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Bibliographic Info

Paper provided by Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät in its series Hannover Economic Papers (HEP) with number dp-320.

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Length: 11 pages
Date of creation: Aug 2005
Date of revision:
Handle: RePEc:han:dpaper:dp-320

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Keywords: heteroskedastic probit model; marginal effects; Stata;

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Cited by:
  1. Javier Gutiérrez Rueda, 2010. "Un análisis de riesgo de crédito de las empresas del sector real y sus determinantes," VNIVERSITAS ECONÓMICA 008291, UNIVERSIDAD JAVERIANA - BOGOTÁ.
  2. David Neumark, 2010. "Detecting Discrimination in Audit and Correspondence Studies," NBER Working Papers 16448, National Bureau of Economic Research, Inc.
  3. Carlsson, Magnus & Fumarco, Luca & Rooth, Dan-Olof, 2013. "Artifactual evidence of discrimination in correspondence studies? A replication of the Neumark method," POLIS Working Papers 172, Institute of Public Policy and Public Choice - POLIS.

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