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dc.contributor.authorCornelißen, Thomasen
dc.date.accessioned2009-01-29T14:59:35Z-
dc.date.available2009-01-29T14:59:35Z-
dc.date.issued2005-
dc.identifier.urihttp://hdl.handle.net/10419/22432-
dc.description.abstractIn non-linear regression models, such as the heteroskedastic probit model, coefficients cannot be interpreted as marginal effects. Marginal effects can be computed as a non-linear combination of the regression coefficients. Standard errors of the marginal effects needed for inference and hypothesis testing have to be derived by approximation using methods such as the delta method. This paper applies the delta method to derive analytically the standard errors of marginal effects in a heteroskedastic probit model. The computation is implemented as a Stata ado-file called mehetprob which can be downloaded from the internet. This allows to compute marginal effects at means and their standard errors in a heteroskedastic probit model faster than by numerical calculation which is implemented in the mfx routine currently available in Stata for that purposes.en
dc.language.isoengen
dc.publisher|aUniversität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannoveren
dc.relation.ispartofseries|aDiskussionsbeitrag |x320en
dc.subject.jelC87en
dc.subject.jelC25en
dc.subject.ddc330en
dc.subject.keywordheteroskedastic probit modelen
dc.subject.keywordmarginal effectsen
dc.subject.keywordStataen
dc.titleStandard errors of marginal effects in the heteroskedastic probit model-
dc.typeWorking Paperen
dc.identifier.ppn499710142en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:han:dpaper:dp-320en

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