How to find the significance level of marginal effects?

[Shuai Yan]

Hello, there are so many topics about marginal effect using -margins- command.
But most of them talk about the significance level of estimation.
I would like to find the significance level of the difference between margins. I first run the command like this

margins, at(VAR1=(0 1) VAR2=(0.01(0.99)1))

Then I use marginsplot to have the figure output.

For example, I have the output plot like this.

I would like to find:
Whether the difference between point A1 and A2 is significant?

Whether the difference between point B1 and B2 is significant?


How to find the significance level here?

Thank you very much.

[Clyde Schechter]

Add the -pwcompare- option to your -margins- command to get pvalues.

That said, you shouldn't focus on whether these differences are "significant." The American Statistical Association has recommended that the concept of statistical significance be abandoned. See https://www.tandfonline.com/doi/full...5.2019.1583913 for the "executive summary" and https://www.tandfonline.com/toc/utas20/73/sup1 for all 43 supporting articles. Or https://www.nature.com/articles/d41586-019-00857-9 for the tl;dr. Focus instead on whether these differences are large enough in magnitude to be of any practical importance in the real world, and whether the confidence intervals are narrow enough that your judgment of the practical importance would remain unchanged if the real value were anywhere within those intervals.