Thursday, June 11, 2009

Marginal Effects with Heteroskedastic Probit Models

Obtaining marginal effects after running Stata's hetprob command can be very slow, a much quicker approach is the user written command mehetprob, by Thomas Cornelissen. Results are the same as with mfx, however mehetprob saves over 10 minutes for large datasets with Stata 9, and hours with Stata 8.

1 comment:

Martin Ryan said...

Thanks for the tip Mark.

You should cross-post this on SLUG too: http://gearylug.blogspot.com/

If you're not set up to post there, Fearghal can sort it out