[Limdep Nlogit List] On the standard errors of the average partial effects after NLOGIT

[William Greene]

Nieves.  NLOGIT has been extended since version 4.  Regarding elasticities,
there are two measures of variation.  The first is the "standard deviation"
you
describe below.  The second is the asymptotic variance that derives from the
theory of the MLE.  NLOGIT 4 did not compute these.  NLOGIT 6 does.  The
meaning of the hypothesis that an elasticity equals zero in the context of
the
model remains ambiguous.  But, you can obtain these asymptotic standard
errors with NLOGIT 6.
Regards
Bill Greene


On Wed, Apr 17, 2019 at 12:08 PM Nieves Valdés via Limdep <
limdep at mailman.sydney.edu.au> wrote:

> Hi there!
> I'm interested in using nlogit, specifically because I need to compute
> marginal effects and their standard errors.
> I'm looking at the Student Reference Guide of Nlogit 4.0 and it says "The
> standard deviations are not the asymptotic standard errors for the
> estimators of the marginal effects...Computing an appropriate standard
> error for that statistic is difficult to impossible...The hypothesis that a
> variable is not influential in the determination of the choices should be
> tested at the coefficient level."
> Is this correct? Is this also the case in Nlogit 6.0?
> Thanks in advance!
> Best Regards
> Nieves
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-- 
William Greene
Department of Economics
Stern School of Business, New York University
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