Standard errors of marginal effects in the heteroskedastic probit model
AbstractIn 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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Bibliographic InfoPaper provided by Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät in its series Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover with number dp-320.
Length: 11 pages
Date of creation: Aug 2005
Date of revision:
heteroskedastic probit model; marginal effects; Stata;
Find related papers by JEL classification:
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
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- NEP-ALL-2005-09-11 (All new papers)
- NEP-DCM-2005-09-11 (Discrete Choice Models)
- NEP-ECM-2005-09-11 (Econometrics)
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