[Limdep Nlogit List] order probit marginal effects
Tomas Nilsson
tknilsso at gmail.com
Wed Aug 6 03:52:23 EST 2008
Hello Fredrik, et al
I have the same problem (ordered probit - won't compute stats for
marginal effects). Does the update work for NLOGIT?
Cheers,
Tomas
On Wed, Jul 2, 2008 at 4:37 AM, Fredrik Carlsson
<Fredrik.Carlsson at economics.gu.se> wrote:
> I have exactly the same problem, but I'm running Nlogit. The exe-file is therefore called Nlogit.exe, so is there a similar update for Nlogit?
>
> Fredrik
> Fredrik Carlsson
> Professor
> Department of Economics, University of Gothenburg
> Box 640, SE-405 40 Gothenburg, Sweden
> Tel: +46 31 7864174
> Fax: +46 31 7861043
> Mobile: +46 0709 267 097
> Home page:
> http://www.handels.gu.se/econ/fredrik.carlsson/
> ________________________________________
> Från: limdep-bounces at limdep.itls.usyd.edu.au [limdep-bounces at limdep.itls.usyd.edu.au] för William Greene [wgreene at stern.nyu.edu]
> Skickat: den 2 juli 2008 04:19
> Till: Limdep and Nlogit Mailing List
> Ämne: Re: [Limdep Nlogit List] order probit marginal effects
>
> If you cannot replicate the following, download the file
> http://www.stern.nyu.edu/~wgreene/limdep9.zip
> and replace your current copy of limdep.exe. (Back up
> your old one. No reinstall, just replace the .exe file.)
> /Bill Greene
>
> --> RESET
> Initializing NLOGIT Version 4.0.3 (March 1, 2008).
> --> samp;1-1000$
> --> crea;x=rnn(0,1);y=rnd(5)-1$
> --> orde;lhs=y;rhs=one,x;mar$
> Normal exit from iterations. Exit status=0.
> +---------------------------------------------+
> | Ordered Probability Model |
> | Maximum Likelihood Estimates |
> | Dependent variable Y |
> | Weighting variable None |
> | Number of observations 1000 |
> | Iterations completed 7 |
> | Log likelihood function -1605.182 |
> | Number of parameters 5 |
> | Info. Criterion: AIC = 3.22036 |
> | Finite Sample: AIC = 3.22042 |
> | Info. Criterion: BIC = 3.24490 |
> | Info. Criterion:HQIC = 3.22969 |
> | Restricted log likelihood -1605.191 |
> | McFadden Pseudo R-squared .0000057 |
> | Chi squared .1825517E-01 |
> | Degrees of freedom 1 |
> | Prob[ChiSqd > value] = .8925236 |
> | Model estimated: Jul 01, 2008, 10:16:57PM |
> | Underlying probabilities based on Normal |
> +---------------------------------------------+
> +--------------------------------------------------------------------+
> | TABLE OF CELL FREQUENCIES FOR ORDERED PROBABILITY MODEL |
> +--------------------------------------------------------------------+
> | Frequency Cumulative < = Cumulative > = |
> |Outcome Count Percent Count Percent Count Percent |
> |----------- ------- --------- ------- --------- ------- --------- |
> |Y=00 197 19.7000 197 19.7000 1000 100.0000 |
> |Y=01 200 20.0000 397 39.7000 803 80.3000 |
> |Y=02 232 23.2000 629 62.9000 603 60.3000 |
> |Y=03 197 19.7000 826 82.6000 371 37.1000 |
> |Y=04 174 17.4000 1000 100.0000 174 17.4000 |
> +--------------------------------------------------------------------+
>
>
> +--------+--------------+----------------+--------+--------+----------+
> |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
> +--------+--------------+----------------+--------+--------+----------+
> +--------+Index function for probability |
> |Constant| .85234*** .03541933 24.064 .0000 |
> |X | .00445 .03293147 .135 .8925 .0170880|
> +--------+Threshold parameters for index |
> |Mu(1) | .59131*** .03242623 18.236 .0000 |
> |Mu(2) | 1.18166*** .03742509 31.574 .0000 |
> |Mu(3) | 1.79090*** .04704372 38.069 .0000 |
> +--------+------------------------------------------------------------+
> | Note: ***, **, * = Significance at 1%, 5%, 10% level. |
> +---------------------------------------------------------------------+
>
> ========================================================================
> ||Summary of Marginal Effects for Ordered Probability Model (probit) ||
> ||Effects computed at means. Effectsfor binary variables are ||
> ||computed as differences of probabilities, other variables at means. ||
> ========================================================================
> || Continuous Variable ONE Continuous Variable X
> || ============================== ==============================
> Outcome Effect dPy<=nn/dX dPy>=nn/dX Effect dPy<=nn/dX dPy>=nn/dX
> ======= ============================== ==============================
> Y = 00 .00000 .00000 .00000 -.00123 -.00123 .00000
> Y = 01 .00000 .00000 .00000 -.00048 -.00172 .00123
> Y = 02 .00000 .00000 .00000 .00003 -.00168 .00172
> Y = 03 .00000 .00000 .00000 .00054 -.00114 .00168
> Y = 04 .00000 .00000 .00000 .00114 .00000 .00114
> ========================================================================
> +---------------------------------------------------------------------------+
> | 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| 197| 0| 0| 197| 0| 0|
> | 1| 200| 0| 0| 200| 0| 0|
> | 2| 232| 0| 0| 232| 0| 0|
> | 3| 197| 0| 0| 197| 0| 0|
> | 4| 174| 0| 0| 174| 0| 0|
> +-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
> |Col Sum| 1000| 0| 0| 1000| 0| 0| 0| 0| 0| 0| 0|
> +-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
>
> NOW WITH FULL OUTPUT....
>
> --> orde;lhs=y;rhs=one,x;mar;full$
> Normal exit from iterations. Exit status=0.
> +---------------------------------------------+
> | Ordered Probability Model |
> | Maximum Likelihood Estimates |
> | Dependent variable Y |
> | Weighting variable None |
> | Number of observations 1000 |
> | Iterations completed 7 |
> | Log likelihood function -1605.182 |
> | Number of parameters 5 |
> | Info. Criterion: AIC = 3.22036 |
> | Finite Sample: AIC = 3.22042 |
> | Info. Criterion: BIC = 3.24490 |
> | Info. Criterion:HQIC = 3.22969 |
> | Restricted log likelihood -1605.191 |
> | McFadden Pseudo R-squared .0000057 |
> | Chi squared .1825517E-01 |
> | Degrees of freedom 1 |
> | Prob[ChiSqd > value] = .8925236 |
> | Model estimated: Jul 01, 2008, 10:17:22PM |
> | Underlying probabilities based on Normal |
> +---------------------------------------------+
> +--------------------------------------------------------------------+
> | TABLE OF CELL FREQUENCIES FOR ORDERED PROBABILITY MODEL |
> +--------------------------------------------------------------------+
> | Frequency Cumulative < = Cumulative > = |
> |Outcome Count Percent Count Percent Count Percent |
> |----------- ------- --------- ------- --------- ------- --------- |
> |Y=00 197 19.7000 197 19.7000 1000 100.0000 |
> |Y=01 200 20.0000 397 39.7000 803 80.3000 |
> |Y=02 232 23.2000 629 62.9000 603 60.3000 |
> |Y=03 197 19.7000 826 82.6000 371 37.1000 |
> |Y=04 174 17.4000 1000 100.0000 174 17.4000 |
> +--------------------------------------------------------------------+
>
>
> +--------+--------------+----------------+--------+--------+----------+
> |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
> +--------+--------------+----------------+--------+--------+----------+
> +--------+Index function for probability |
> |Constant| .85234*** .03541933 24.064 .0000 |
> |X | .00445 .03293147 .135 .8925 .0170880|
> +--------+Threshold parameters for index |
> |Mu(1) | .59131*** .03242623 18.236 .0000 |
> |Mu(2) | 1.18166*** .03742509 31.574 .0000 |
> |Mu(3) | 1.79090*** .04704372 38.069 .0000 |
> +--------+------------------------------------------------------------+
> | Note: ***, **, * = Significance at 1%, 5%, 10% level. |
> +---------------------------------------------------------------------+
>
> ========================================================================
> ||Summary of Marginal Effects for Ordered Probability Model (probit) ||
> ||Effects computed at means. Effectsfor binary variables are ||
> ||computed as differences of probabilities, other variables at means. ||
> ========================================================================
> || Continuous Variable ONE Continuous Variable X
> || ============================== ==============================
> Outcome Effect dPy<=nn/dX dPy>=nn/dX Effect dPy<=nn/dX dPy>=nn/dX
> ======= ============================== ==============================
> Y = 00 .00000 .00000 .00000 -.00123 -.00123 .00000
> Y = 01 .00000 .00000 .00000 -.00048 -.00172 .00123
> Y = 02 .00000 .00000 .00000 .00003 -.00168 .00172
> Y = 03 .00000 .00000 .00000 .00054 -.00114 .00168
> Y = 04 .00000 .00000 .00000 .00114 .00000 .00114
> ========================================================================
>
> +----------------------------------------------------+
> | Marginal effects for ordered probability model |
> | These are the effects on Prob[Y=00] at means. |
> | M.E.s for dummy variables are Pr[y|x=1]-Pr[y|x=0] |
> | Names for dummy variables are marked by *. |
> +----------------------------------------------------+
> +--------+--------------+----------------+--------+--------+----------+
> |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
> +--------+--------------+----------------+--------+--------+----------+
> |Constant| .000*** ......(Fixed Parameter)....... |
> |X | -.00123 .00913588 -.135 .8925 .0170880|
> +--------+------------------------------------------------------------+
> | Note: ***, **, * = Significance at 1%, 5%, 10% level. |
> +---------------------------------------------------------------------+
> |Fixed Parameter... indicates a parameter that is constrained to equal|
> |a fixed value (e.g., 0) or a serious estimation problem. If you did |
> |not impose a restriction on the parameter, check for previous errors.|
> +---------------------------------------------------------------------+
>
>
> +----------------------------------------------------+
> | Marginal effects for ordered probability model |
> | These are the effects on Prob[Y=01] at means. |
> | M.E.s for dummy variables are Pr[y|x=1]-Pr[y|x=0] |
> | Names for dummy variables are marked by *. |
> +----------------------------------------------------+
> +--------+--------------+----------------+--------+--------+----------+
> |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
> +--------+--------------+----------------+--------+--------+----------+
> |Constant| .000 ......(Fixed Parameter)....... |
> |X | -.00048 .00356178 -.135 .8925 .0170880|
> +--------+------------------------------------------------------------+
> | Note: ***, **, * = Significance at 1%, 5%, 10% level. |
> +---------------------------------------------------------------------+
> |Fixed Parameter... indicates a parameter that is constrained to equal|
> |a fixed value (e.g., 0) or a serious estimation problem. If you did |
> |not impose a restriction on the parameter, check for previous errors.|
> +---------------------------------------------------------------------+
>
>
> +----------------------------------------------------+
> | Marginal effects for ordered probability model |
> | These are the effects on Prob[Y=02] at means. |
> | M.E.s for dummy variables are Pr[y|x=1]-Pr[y|x=0] |
> | Names for dummy variables are marked by *. |
> +----------------------------------------------------+
> +--------+--------------+----------------+--------+--------+----------+
> |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
> +--------+--------------+----------------+--------+--------+----------+
> |Constant| .000 ......(Fixed Parameter)....... |
> |X | .34163D-04 .00025549 .134 .8936 .0170880|
> +--------+------------------------------------------------------------+
> | Note: nnnnn.D-xx or D+xx => multiply by 10 to -xx or +xx. |
> | Note: ***, **, * = Significance at 1%, 5%, 10% level. |
> +---------------------------------------------------------------------+
> |Fixed Parameter... indicates a parameter that is constrained to equal|
> |a fixed value (e.g., 0) or a serious estimation problem. If you did |
> |not impose a restriction on the parameter, check for previous errors.|
> +---------------------------------------------------------------------+
>
>
> +----------------------------------------------------+
> | Marginal effects for ordered probability model |
> | These are the effects on Prob[Y=03] at means. |
> | M.E.s for dummy variables are Pr[y|x=1]-Pr[y|x=0] |
> | Names for dummy variables are marked by *. |
> +----------------------------------------------------+
> +--------+--------------+----------------+--------+--------+----------+
> |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
> +--------+--------------+----------------+--------+--------+----------+
> |Constant| .000 ......(Fixed Parameter)....... |
> |X | .00054 .00398773 .135 .8926 .0170880|
> +--------+------------------------------------------------------------+
> | Note: ***, **, * = Significance at 1%, 5%, 10% level. |
> +---------------------------------------------------------------------+
> |Fixed Parameter... indicates a parameter that is constrained to equal|
> |a fixed value (e.g., 0) or a serious estimation problem. If you did |
> |not impose a restriction on the parameter, check for previous errors.|
> +---------------------------------------------------------------------+
>
>
> +----------------------------------------------------+
> | Marginal effects for ordered probability model |
> | These are the effects on Prob[Y=04] at means. |
> | M.E.s for dummy variables are Pr[y|x=1]-Pr[y|x=0] |
> | Names for dummy variables are marked by *. |
> +----------------------------------------------------+
> +--------+--------------+----------------+--------+--------+----------+
> |Variable| Coefficient | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|
> +--------+--------------+----------------+--------+--------+----------+
> |Constant| .000 ......(Fixed Parameter)....... |
> |X | .00114 .00845751 .135 .8925 .0170880|
> +--------+------------------------------------------------------------+
> | Note: ***, **, * = Significance at 1%, 5%, 10% level. |
> +---------------------------------------------------------------------+
> |Fixed Parameter... indicates a parameter that is constrained to equal|
> |a fixed value (e.g., 0) or a serious estimation problem. If you did |
> |not impose a restriction on the parameter, check for previous errors.|
> +---------------------------------------------------------------------+
>
> +---------------------------------------------------------------------------+
> | 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| 197| 0| 0| 197| 0| 0|
> | 1| 200| 0| 0| 200| 0| 0|
> | 2| 232| 0| 0| 232| 0| 0|
> | 3| 197| 0| 0| 197| 0| 0|
> | 4| 174| 0| 0| 174| 0| 0|
> +-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
> |Col Sum| 1000| 0| 0| 1000| 0| 0| 0| 0| 0| 0| 0|
> +-------+-------+-----+-----+-----+-----+-----+-----+-----+-----+-----+-----+
>
> ----- Original Message -----
> From: "Blane Lewis" <mblewis at indo.net.id>
> To: "Limdep and Nlogit Mailing List" <limdep at limdep.itls.usyd.edu.au>
> Sent: Tuesday, July 1, 2008 8:50:40 PM (GMT-0500) America/New_York
> Subject: Re: [Limdep Nlogit List] order probit marginal effects
>
> Bill,
>
> Thanks for the quick response. It doesn't work, however. (Nor do any of the obvious alternatives: ;output=1,2,3 or full etc).
>
> Any other suggestions?
>
> Thanks,
>
> Blane
> ----- Original Message -----
> From: William Greene
> To: Limdep and Nlogit Mailing List
> Sent: Tuesday, July 01, 2008 6:16 PM
> Subject: Re: [Limdep Nlogit List] order probit marginal effects
>
>
> Blane: Try adding ;FULL OUTPUT to the ORDERED command.
> /B. Greene
>
> ----- Original Message -----
> From: "Blane Lewis" <mblewis at indo.net.id>
> To: limdep at limdep.itls.usyd.edu.au
> Sent: Tuesday, July 1, 2008 6:02:05 AM (GMT-0500) America/Bogota
> Subject: [Limdep Nlogit List] order probit marginal effects
>
> Hello Limdepers:
>
> I'm running an ordered probit model (using Limdep 9.0) and want to get the program to produce detailed information on the marginal effects (as per the example in the manual on page E22-8).
>
> When I include the command "margins" I get only the summary output, i.e. just the marginal effects of the independent variable for y= 0, 1, 2, and 3 but no standard errors, t stats, etc.
>
> What command should I use to get the full output?
>
> Thanks,
>
> Blane
> _______________________________________________
> Limdep site list
> Limdep at limdep.itls.usyd.edu.au
> http://limdep.itls.usyd.edu.au
>
>
> --
> Professor William Greene
> Department of Economics
> Stern School of Business
> New York University
> 44 West 4th St., Rm. 7-78
> New York, NY 10012
> http://www.stern.nyu.edu/~wgreene
> 212.998.0876
>
> _______________________________________________
> Limdep site list
> Limdep at limdep.itls.usyd.edu.au
> http://limdep.itls.usyd.edu.au
>
> _______________________________________________
> Limdep site list
> Limdep at limdep.itls.usyd.edu.au
> http://limdep.itls.usyd.edu.au
>
>
> --
> Professor William Greene
> Department of Economics
> Stern School of Business
> New York University
> 44 West 4th St., Rm. 7-78
> New York, NY 10012
> http://www.stern.nyu.edu/~wgreene
> 212.998.0876
>
> _______________________________________________
> Limdep site list
> Limdep at limdep.itls.usyd.edu.au
> http://limdep.itls.usyd.edu.au
> _______________________________________________
> Limdep site list
> Limdep at limdep.itls.usyd.edu.au
> http://limdep.itls.usyd.edu.au
>
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