@TechReport{dp-320,
author = {Cornelißen, Thomas},
astring = {Thomas Cornelißen},
title = {Standard errors of marginal effects in the heteroskedastic
probit model},
month = {August},
year = {2005},
pages = {11},
size = {155K},
institution = fb,
type = dp,
issn = fb:issn,
number = {320},
language = {en},
keywords = {heteroskedastic probit model, marginal effects, Stata},
jelclass = {C25, C87},
abstract = {In 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.}
}