st: margeff/margins discrepancy

["Joanne W. Hsu" <jwhsu@umich.edu>]

Here is a replicable example:

sysuse nlsw88.dta, clear
probit married wage if age==45
margeff
margins, dydx(wage)

Here, margeff produces a standard error of .0149933 (z statistic of 
-0.48) whereas margins reports 0.0150751 (z statistic -0.47).  Margeff 
reports the same coefficients and standard errors regardless of whether 
version 9: probit is run or just probit.

Now, if one runs the following after the probit:

keep if e(sample)==1
margeff

margeff now produces the same output as margins did.

Note that while these standard error differences are relatively small, 
I'm getting a similar discrepancy that is much larger in my own data 
(standard errors on an order of 3 times larger with margins than margeff).

Any ideas on what's going on here?

> Date: Sat, 24 Apr 2010 18:40:44 -0500
> From: Richard Williams<Williams.NDA@comcast.net>
> Subject: Re: st: margeff/margins discrepancy
>
> A replicable example, or at least seeing your code, could help.  In
> particular, you want to be sure that the margins command really is
> doing the same thing as margeff.
>
> I have found that in some instances using version control on the
> estimation command is helpful with margeff, e.g.
>
> version 9: probit y x
> margeff
>
> This is because margeff was written for Stata 9, and some of the
> ereturned results from estimation commands changed in Stata 10 or 11.
>
> If that doesn't solve it why don't you post your code, or better yet
> a replicable example.
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