I have a balanced panel dataset (t=Year and i=Individual denoted by Year and IndvID respectively) and the following econometric model
Y = b1*var1 + b2*var2 + b3*var1*var2 + b4*var4 + fe + epsilon
am estimating the following fixed-effects regression
(all variables are continuous except for the Year dummies being created by i.Year)
I want STATA to derive/report the overall marginal effect of var1 and var2 on the outcome Y:
dY/dvar1 = b1 + b3*var2
dY/dvar2 = b2 + b3*var1
Because I estimate the fixed-effect regression using robust standard errors, I want to make sure the marginal effect are being computed taking into account the same heterogeneity that the clustered standard errors correct for. My understanding is that this can be achieved using the
vce(unconditional) option of the margins command. However, after running the above regression, when I run the command
I get the following error:
Am I missing something obvious here or am I not going about this correctly? How can I cluster standard errors for margin estimates computed for STATA rather than using the Delta Method default, which won't do this?
Thanks in advance,
-Mark
Y = b1*var1 + b2*var2 + b3*var1*var2 + b4*var4 + fe + epsilon
am estimating the following fixed-effects regression
Code:
xi: xtreg Y var1 var2 c.var1#c.var2 var3 i.Year, fe vce(cluster IndvID)
I want STATA to derive/report the overall marginal effect of var1 and var2 on the outcome Y:
dY/dvar1 = b1 + b3*var2
dY/dvar2 = b2 + b3*var1
Because I estimate the fixed-effect regression using robust standard errors, I want to make sure the marginal effect are being computed taking into account the same heterogeneity that the clustered standard errors correct for. My understanding is that this can be achieved using the
vce(unconditional) option of the margins command. However, after running the above regression, when I run the command
Code:
margins, dydx(var1) vce(unconditional)
xtreg is not supported by margins with the vce(unconditional) option
Thanks in advance,
-Mark
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