[Limdep Nlogit List] Standard Errors of Marginal Effects
David Tufte
tufte at suu.edu
Fri Mar 20 08:37:25 EST 2009
Here is what I'm getting - all in one place - no standard errors for marginal effects with 6 variations:
1) Ordered;
2) Ordered;Full;
3) Ordered;All;
4) Oprobit;
5) Oprobit;Full;
6) Oprobit;All;
--> RESET
Initializing NLOGIT Version 4.0.1 (January 1, 2007).
--> read;nobs=1015;nvar=31;names=4;file=i:\_research\bct - ebd\dt_happ2.csv;$
--> create;inverse=4-jobsatis$
--> create;age_sq=age*age$
--> create;ln_sal=log(salary)$
--> create;Not_NE=1-newengla;Not_WC=1-westcoas;Not_Asia=1-asiannh;Not_min=1-u...
not_famr = 1-famrestr;not_adv=1-advance;not_ben=1-benefits$
--> ordered;
marginal effects;
lhs=inverse;
rhs=one,age,age_sq$
Normal exit from iterations. Exit status=0.
+---------------------------------------------+
| Ordered Probability Model |
| Maximum Likelihood Estimates |
| Model estimated: Mar 19, 2009 at 03:33:44PM.|
| Dependent variable INVERSE |
| Weighting variable None |
| Number of observations 1015 |
| Iterations completed 8 |
| Log likelihood function -1037.060 |
| Number of parameters 5 |
| Info. Criterion: AIC = 2.05332 |
| Finite Sample: AIC = 2.05338 |
| Info. Criterion: BIC = 2.07757 |
| Info. Criterion:HQIC = 2.06253 |
| Restricted log likelihood -1037.590 |
| McFadden Pseudo R-squared .0005110 |
| Chi squared 1.060327 |
| Degrees of freedom 2 |
| Prob[ChiSqd > value] = .5885089 |
| Underlying probabilities based on Normal |
+---------------------------------------------+
+---------------------------------------------+
| Ordered Probability Model |
| Cell frequencies for outcomes |
| Y Count Freq Y Count Freq Y Count Freq |
| 0 24 .023 1 90 .088 2 482 .474 |
| 3 419 .412 |
+---------------------------------------------+
+--------+--------------+----------------+--------+--------+----------+
|Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
+--------+--------------+----------------+--------+--------+----------+
---------+Index function for probability
Constant| 1.51834943 .58708329 2.586 .0097
AGE | .01882813 .02661521 .707 .4793 43.1743842
AGE_SQ | -.00017596 .00029120 -.604 .5457 1968.63448
---------+Threshold parameters for index
Mu(1) | .76961147 .04787622 16.075 .0000
Mu(2) | 2.20533491 .05473961 40.288 .0000
+-------------------------------------------------------------------------+
| Summary of Marginal Effects for Ordered Probability Model (probit) |
+-------------------------------------------------------------------------+
Variable| Y=00 Y=01 Y=02 Y=03 Y=04 Y=05 Y=06 Y=07 |
--------------------------------------------------------------------------+
AGE -.0010 -.0025 -.0037 .0073
AGE_SQ .0000 .0000 .0000 -.0001
+---------------------------------------------------------------------------+
| Cross tabulation of predictions. Row is actual, column is predicted. |
| Model = Probit . Prediction is number of the most probable cell. |
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
| Actual|Row Sum| 0 | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 |
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
| 0| 24| 0| 0| 24| 0|
| 1| 90| 0| 0| 90| 0|
| 2| 482| 0| 0| 482| 0|
| 3| 419| 0| 0| 419| 0|
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
|Col Sum| 1015| 0| 0| 1015| 0| 0| 0| 0| 0| 0| 0|
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
--> ordered;full;
marginal effects;
lhs=inverse;
rhs=one,age,age_sq$
Error 999: The specification ;FUL is not recognized.
--> ordered;all;
marginal effects;
lhs=inverse;
rhs=one,age,age_sq$
Normal exit from iterations. Exit status=0.
+---------------------------------------------+
| Ordered Probability Model |
| Maximum Likelihood Estimates |
| Model estimated: Mar 19, 2009 at 03:33:44PM.|
| Dependent variable INVERSE |
| Weighting variable None |
| Number of observations 1015 |
| Iterations completed 8 |
| Log likelihood function -1037.060 |
| Number of parameters 5 |
| Info. Criterion: AIC = 2.05332 |
| Finite Sample: AIC = 2.05338 |
| Info. Criterion: BIC = 2.07757 |
| Info. Criterion:HQIC = 2.06253 |
| Restricted log likelihood -1037.590 |
| McFadden Pseudo R-squared .0005110 |
| Chi squared 1.060327 |
| Degrees of freedom 2 |
| Prob[ChiSqd > value] = .5885089 |
| Underlying probabilities based on Normal |
+---------------------------------------------+
+---------------------------------------------+
| Ordered Probability Model |
| Cell frequencies for outcomes |
| Y Count Freq Y Count Freq Y Count Freq |
| 0 24 .023 1 90 .088 2 482 .474 |
| 3 419 .412 |
+---------------------------------------------+
+--------+--------------+----------------+--------+--------+----------+
|Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
+--------+--------------+----------------+--------+--------+----------+
---------+Index function for probability
Constant| 1.51834943 .58708329 2.586 .0097
AGE | .01882813 .02661521 .707 .4793 43.1743842
AGE_SQ | -.00017596 .00029120 -.604 .5457 1968.63448
---------+Threshold parameters for index
Mu(1) | .76961147 .04787622 16.075 .0000
Mu(2) | 2.20533491 .05473961 40.288 .0000
+-------------------------------------------------------------------------+
| Summary of Marginal Effects for Ordered Probability Model (probit) |
+-------------------------------------------------------------------------+
Variable| Y=00 Y=01 Y=02 Y=03 Y=04 Y=05 Y=06 Y=07 |
--------------------------------------------------------------------------+
AGE -.0010 -.0025 -.0037 .0073
AGE_SQ .0000 .0000 .0000 -.0001
+---------------------------------------------------------------------------+
| Cross tabulation of predictions. Row is actual, column is predicted. |
| Model = Probit . Prediction is number of the most probable cell. |
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
| Actual|Row Sum| 0 | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 |
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
| 0| 24| 0| 0| 24| 0|
| 1| 90| 0| 0| 90| 0|
| 2| 482| 0| 0| 482| 0|
| 3| 419| 0| 0| 419| 0|
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
|Col Sum| 1015| 0| 0| 1015| 0| 0| 0| 0| 0| 0| 0|
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
--> oprobit;
marginal effects;
lhs=inverse;
rhs=one,age,age_sq$
Normal exit from iterations. Exit status=0.
+---------------------------------------------+
| Ordered Probability Model |
| Maximum Likelihood Estimates |
| Model estimated: Mar 19, 2009 at 03:33:45PM.|
| Dependent variable INVERSE |
| Weighting variable None |
| Number of observations 1015 |
| Iterations completed 8 |
| Log likelihood function -1037.060 |
| Number of parameters 5 |
| Info. Criterion: AIC = 2.05332 |
| Finite Sample: AIC = 2.05338 |
| Info. Criterion: BIC = 2.07757 |
| Info. Criterion:HQIC = 2.06253 |
| Restricted log likelihood -1037.590 |
| McFadden Pseudo R-squared .0005110 |
| Chi squared 1.060327 |
| Degrees of freedom 2 |
| Prob[ChiSqd > value] = .5885089 |
| Underlying probabilities based on Normal |
+---------------------------------------------+
+---------------------------------------------+
| Ordered Probability Model |
| Cell frequencies for outcomes |
| Y Count Freq Y Count Freq Y Count Freq |
| 0 24 .023 1 90 .088 2 482 .474 |
| 3 419 .412 |
+---------------------------------------------+
+--------+--------------+----------------+--------+--------+----------+
|Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
+--------+--------------+----------------+--------+--------+----------+
---------+Index function for probability
Constant| 1.51834943 .58708329 2.586 .0097
AGE | .01882813 .02661521 .707 .4793 43.1743842
AGE_SQ | -.00017596 .00029120 -.604 .5457 1968.63448
---------+Threshold parameters for index
Mu(1) | .76961147 .04787622 16.075 .0000
Mu(2) | 2.20533491 .05473961 40.288 .0000
+-------------------------------------------------------------------------+
| Summary of Marginal Effects for Ordered Probability Model (probit) |
+-------------------------------------------------------------------------+
Variable| Y=00 Y=01 Y=02 Y=03 Y=04 Y=05 Y=06 Y=07 |
--------------------------------------------------------------------------+
AGE -.0010 -.0025 -.0037 .0073
AGE_SQ .0000 .0000 .0000 -.0001
+---------------------------------------------------------------------------+
| Cross tabulation of predictions. Row is actual, column is predicted. |
| Model = Probit . Prediction is number of the most probable cell. |
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
| Actual|Row Sum| 0 | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 |
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
| 0| 24| 0| 0| 24| 0|
| 1| 90| 0| 0| 90| 0|
| 2| 482| 0| 0| 482| 0|
| 3| 419| 0| 0| 419| 0|
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
|Col Sum| 1015| 0| 0| 1015| 0| 0| 0| 0| 0| 0| 0|
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
--> oprobit;full;
marginal effects;
lhs=inverse;
rhs=one,age,age_sq$
Error 999: The specification ;FUL is not recognized.
--> oprobit;all;
marginal effects;
lhs=inverse;
rhs=one,age,age_sq$
Normal exit from iterations. Exit status=0.
+---------------------------------------------+
| Ordered Probability Model |
| Maximum Likelihood Estimates |
| Model estimated: Mar 19, 2009 at 03:33:46PM.|
| Dependent variable INVERSE |
| Weighting variable None |
| Number of observations 1015 |
| Iterations completed 8 |
| Log likelihood function -1037.060 |
| Number of parameters 5 |
| Info. Criterion: AIC = 2.05332 |
| Finite Sample: AIC = 2.05338 |
| Info. Criterion: BIC = 2.07757 |
| Info. Criterion:HQIC = 2.06253 |
| Restricted log likelihood -1037.590 |
| McFadden Pseudo R-squared .0005110 |
| Chi squared 1.060327 |
| Degrees of freedom 2 |
| Prob[ChiSqd > value] = .5885089 |
| Underlying probabilities based on Normal |
+---------------------------------------------+
+---------------------------------------------+
| Ordered Probability Model |
| Cell frequencies for outcomes |
| Y Count Freq Y Count Freq Y Count Freq |
| 0 24 .023 1 90 .088 2 482 .474 |
| 3 419 .412 |
+---------------------------------------------+
+--------+--------------+----------------+--------+--------+----------+
|Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
+--------+--------------+----------------+--------+--------+----------+
---------+Index function for probability
Constant| 1.51834943 .58708329 2.586 .0097
AGE | .01882813 .02661521 .707 .4793 43.1743842
AGE_SQ | -.00017596 .00029120 -.604 .5457 1968.63448
---------+Threshold parameters for index
Mu(1) | .76961147 .04787622 16.075 .0000
Mu(2) | 2.20533491 .05473961 40.288 .0000
+-------------------------------------------------------------------------+
| Summary of Marginal Effects for Ordered Probability Model (probit) |
+-------------------------------------------------------------------------+
Variable| Y=00 Y=01 Y=02 Y=03 Y=04 Y=05 Y=06 Y=07 |
--------------------------------------------------------------------------+
AGE -.0010 -.0025 -.0037 .0073
AGE_SQ .0000 .0000 .0000 -.0001
+---------------------------------------------------------------------------+
| Cross tabulation of predictions. Row is actual, column is predicted. |
| Model = Probit . Prediction is number of the most probable cell. |
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
| Actual|Row Sum| 0 | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 |
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
| 0| 24| 0| 0| 24| 0|
| 1| 90| 0| 0| 90| 0|
| 2| 482| 0| 0| 482| 0|
| 3| 419| 0| 0| 419| 0|
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
|Col Sum| 1015| 0| 0| 1015| 0| 0| 0| 0| 0| 0| 0|
+-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
David Tufte
Associate Professor
Department of Economics and Finance
School of Business
Southern Utah University
351 W. University Blvd.
Cedar City UT 84720
351 W. University Blvd.
Cedar City UT 847820
351 West Center St.
Cedar City, UT 84720
Office: (435) 586-5407
Fax: (435) 586-5493
http://www.suu.edu/faculty/tufte
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