IDEAS home Printed from https://ideas.repec.org/p/han/dpaper/dp-320.html
   My bibliography  Save this paper

Standard errors of marginal effects in the heteroskedastic probit model

Author

Listed:
  • 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.

Suggested Citation

  • Cornelißen, Thomas, 2005. "Standard errors of marginal effects in the heteroskedastic probit model," Hannover Economic Papers (HEP) dp-320, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  • Handle: RePEc:han:dpaper:dp-320
    as

    Download full text from publisher

    File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-320.pdf
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. David Neumark, 2012. "Detecting Discrimination in Audit and Correspondence Studies," Journal of Human Resources, University of Wisconsin Press, vol. 47(4), pages 1128-1157.
    2. Javier Gutiérrez Rueda, "undated". "Un análisis de riesgo de crédito de las empresas del sector real y sus determinantes," Temas de Estabilidad Financiera 046, Banco de la Republica de Colombia.
    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.

    More about this item

    Keywords

    heteroskedastic probit model; marginal effects; Stata;

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:han:dpaper:dp-320. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Heidrich, Christian). General contact details of provider: http://edirc.repec.org/data/fwhande.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.