Quote from Greene
Announcement
Collapse
No announcement yet.
X

Last edited by Marcos Almeida; 07 Mar 2016, 04:44.

Please provide an exact and full bibliographic citation for the quotation from Greene.
I would suggest that the issues are primarily to do with how nonlinear the transformations are that relate the original parameter(s) to the partial/marginal effects. (And not the issues raised in your last 2 questions.)
Leave a comment:

Quote from Greene:
An empirical conundrum can arise when doing inference about partial effects rather than coefficients. For any particular variable, wk, the preceding theory does not guarantee that both the estimated coefficient, θk and the associated partial effect, δk will both be ‘statistically significant,’ or statistically insignificant. In the event of a conflict, one is left with the uncomfortable problem of simultaneously rejecting and not rejecting the hypothesis that a variable should appear in the model. Opinions differ on how to proceed. Arguably, the inference should be about θk, not δk, since in the latter case, one is testing a hypothesis about a function of all the coefficients, not just the one of interest.
And I suppose in the case of a bivariate probit with sample selection, the calculation of δk is much more complicated involving parameter estimates and variables from the selection equation as well.
Does this mean you are more likely to encounter such conundrums when you have a more complex model like a bivariate probit with sample selection than a simple probit?
Is this anything to do with the consistency of the estimator for the variancecovariance matrix?
Or the delta method used in the calculation?
Leave a comment:

Excellent points, and I especially like how Clyde explains point 3. Different hyp are being tested, And, as Stephen adds, there is no single marginal effect. The value of the marginal effect is contingent on how the values of the other variables in the model are set. You may use atmeans or asobserved and get a single number but there are any number of other ways you could set the values of the other variables.
Personally, I mostly focus on the significance of coefficients, not the significance of the marginal effect. Or, if I do look at the significance of the marginal effect, it might be over a range of values. So, for example, the marginal effect of race might be very small at low values of age but much greater at higher values of age. e.g. something like
Code:webuse nhanes2f, clear svy: logit diabetes i.black i.female age, nolog margins, dydx(black) at(age=(20 30 40 50 60 70)) vsquish marginsplot
 1 like
Leave a comment:

I would agree with Chandra's remark that
Certainly if you get such large nontrivial differences in the pvalues then it is important ask the question about could possibly be the cause.
Leave a comment:

Clyde's first point is trivial and that is not the point of the question.
The question is not really about why odds ratio is "significant" while the corresponding marginal effect is not. It is really about what does it mean when the respective pvalues are very 'far' apart (e.g. the pvalue for the odds ratio is .002 an that for the marginal effect is .5). Is this plausible and under what conditions? I accept Stephen's point that the calculation of the marginal effects are typically nonlinear functions of all the estimated parameters and explanatory variables. But does this always mean less precision in its calculation? Under what conditions would you get the opposite result? Certainly if you get such large nontrivial differences in the pvalues then it is important ask the question about could possibly be the cause.
Leave a comment:

+1 to the post from Clyde. Very nicely put.
My tuppenceworth worth relates to Rich's statement that:I tend to just say that different hypotheses are being tested.
Leave a comment:

I think this is a multifaceted problem and that different misunderstandings underlie this question when asked by different people. Among them:
1. Some are making a fetish out of 0.05. They see a pvalue of 0.04 in one place and 0.06 in another where they expect them to be "the same" and they freak out.
2. Some have a fundamental misconception of what statistical significance is. They think that statistically significant means "there is an effect" and not statistically significant means "there is no effect." Which again leads them to freak out when they get these apparently contradictory results. For these people, what is needed is reeducation about the concept of statistical significance. They need to learn that "statistical significance" is an arbitrary dichotomization of a continuum of degrees of improbability of the outcome under the null hypothesis. I try to get them to think of it differently: a statistically significant result means a combination of the effect in the sample being large enough, and the data being of adequate quantity and quality (low noise) that our estimates of the effect have enough precision that we are highly skeptical of the idea that the true effect size is zero. So our pvalues are telling us only indirectly about how big the effect is, and not even actually telling us whether or not it really is zero. I generally prefer to focus them on the confidence intervals, because those are more conducive to thinking about an estimate and the precision of that estimate. Then the pvalue can be understood as telling us whether our estimate is both sufficiently far from zero and sufficiently price that it is implausible that we would get such an estimate from a truly zero effect. I also like to point out that in most reallife research situations, the null hypothesis of zero effect is a rather shabby straw man in any case. (As you can tell, I"m not a big fan of pvalues.)
As an antidote to #1 and #2 I often advise those I mentor not to use the term "statistically significant" in my presence.
The above two are generic and give rise to a lot of misunderstandings and confusion about results from a wide variety of analyses.
More specific to the situations you mention are the following:
3. Failure to take into account that the coefficients and odds ratios are different metrics from the marginal effect on probability. The nonlinearity of these models then produces "paradoxical" results. In fact, in many situations, if you run margins, dydx(x) at(x = (numlist spanning a wide range of values)) you will get an interesting mix of large and small, "significant" and "nonsignificant" marginal effects. Drawing a graph of the logistic curve and pointing out that it has a steep section in the middle and flat sections at the ends probably makes the point better than any number of words and sentences. So a unit increment in x may correspond to a rather large increase in predicted outcome probability if we are starting out in the steep area, and a barely visible increase if we are out at the far ends. Once again, due to the noise in our data and sampling variation, we are estimating these marginal effects with a certain degree of precision, and some, but not all, marginal effects will be large enough that we can bound them away from zero at that degree of precision. Just where we are on the logistic curve isn't always obvious from looking at the regression output or the marginal effects, as it depends on the sample distributions of the predictor variables too. The predicted probability for the sample as a whole, or with all variables set at their means, can be helpful for figuring that out. Once you know where you are on the curve, it is easier to see graphically why a marginal effect might be surprisingly large or small in the face of a particular logistic regression coefficient.
Does that help?
 9 likes
Leave a comment:
Leave a comment: