@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.}
}