Estimation of marginal effects using margeff
Tamás Bartus
Department of Sociology and Social Policy
Corvinus University, Budapest
[email protected]
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Abstract. This article describes the user-written program margeff, which
enables the fast estimation of (average) marginal effects. Besides
describing the program, this article offers a new discussion of some
problems that are related to computation of marginal effects. I will argue
that (1) marginal effects computed at means are not good approximations of
average marginal effects, computed as means of marginal effects evaluated at
each observations, if some of the parameter estimates are large; (2) both
average marginal effects and marginal effects computed at means might
produce wrong estimates for dummies that are part of a set of indicator
variables indicating different categories of a single underlying variable;
and (3) the use of marginal effects computed at means is preferred if some
of the regressors are mathematical transformations of other regressors.
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Tamás Bartus
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margeff, mfx, average marginal effects, marginal effects at the mean, dummy variables, squared variables
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