Dear Markus,
The differences in standard errors and z statistics are very small.
Nevertheless, margeff reports partial changes caused by unit changes
instead of the effects of marginal changes.
Tamas
------------------------------------------------
Tamas Bartus, PhD
Associate Professor, Institute of Sociology and Social Policy
Corvinus University, Budapest
1093 Budapest, Közraktár utca 4-6.
Phone: +36-1-482-7301
Fax: +36-1-482-7348
Homepage: http://web.uni-corvinus.hu/bartus
----- Eredeti üzenet -----
Feladó: Markus Hahn <[email protected]>
Dátum: Szerda, Szeptember 16, 2009 6:50 de
Tárgy: st: Marginal effects in Stata 11 (margins vs margeff)
Címzett: [email protected]
> Dear Stata listers,
>
> I am currently playing around with the new factor variable syntax and
> the new margins command. I have re-specified my regression models by
> using the new syntax (i.education, etc.) so that I can use the margins
> command to compute average marginal effects. I have found that by doing
> this, the computation is very slow compared, for example, to the margeff
> command. Here is an example (you will need to have margeff installed
> (ssc install margeff)):
>
> . timer clear
> . webuse union, clear
>
> . probit union age grade i.not_smsa i.south i.black
> . timer on 1
> . margins, dydx(*)
> . timer off 1
>
> . probit union age grade not_smsa south black
> . timer on 2
> . margeff, dummies(not_smsa \ south \ black)
> . timer off 2
>
> . timer list
>
>
> Which creates the following output (some output ommited):
>
> OUTPUT MARGINS
> ------------------------------------------------------------------------
> ------
> | Delta-method
> | dy/dx Std. Err. z P>|z| [95% Conf.
> Interval]
> -------------+----------------------------------------------------------
> ------
> age | .0019934 .0003908 5.10 0.000 .0012274
> .0027593
> grade | .0114783 .0010614 10.81 0.000 .009398
> .0135585
> 1.not_smsa | -.0157848 .0057749 -2.73 0.006 -.0271033
> -.0044663
> 1.south | -.140847 .0051475 -27.36 0.000 -.150936
> -.1307581
> 1.black | .1496103 .0066016 22.66 0.000 .1366714
> .1625493
> ------------------------------------------------------------------------
> ------
>
> OUTPUT MARGEFF
> ------------------------------------------------------------------------
> ------
> variable | Coef. Std. Err. z P>|z| [95% Conf.
> Interval]
> -------------+----------------------------------------------------------
> ------
> age | .0019933 .0003908 5.10 0.000 .0012274
> .0027593
> grade | .0114771 .001061 10.82 0.000 .0093975
> .0135567
> not_smsa | -.0157848 .0057019 -2.77 0.006 -.0269603
> -.0046093
> south | -.140847 .0042921 -32.82 0.000 -.1492593
> -.1324347
> black | .1496103 .0071747 20.85 0.000 .1355482
> .1636724
> ------------------------------------------------------------------------
> ------
>
> . timer list [64-bit Stata/MP (4 cores) (WINXP)]
> 1: 18.38 / 1 = 18.3760 [TIME TO RUN MARGINS]
> 2: 0.55 / 1 = 0.5470 [TIME TO RUN MARGEFF]
>
> While the coefficients are almost identical, the standard errors are
> slightly different which leads to the question of which command computes
> the "correct" ones. I understand that the margins command is more
> convenient when computing marginal effects of interaction terms but is
> there another advantage of using the slower margins command instead of
> the margeff command. Is there a way to speed up the margins command?
>
> A related question (probably targeted at the Stata employees on this
> list):
> Is there a command (maybe undocumented) that creates a set of "real"
> variables from factor variable statements like i.education or
> i.agegroups, so that the users do not have to create the variables
> themselves when using older commands that do no support the new syntax?
> If is answer is no, I would be interested in how the estimation commands
> that support the new syntax work under the "hood". Do those commands
> create "temporary" variables before performing the estimation? I am in
> particular interested in how user written commands would handle the new
> syntax?
>
> OFF-TOPIC: It would be nice if margeff would support factor variables.
> Tamas, what do you think?
>
>
> Cheers,
> Markus
>
>
> *
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*
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