Using gret l for Principles of Econometrics, 4th Edition
Marginal Effects
When variables interact, the marginal effect of one variable on the mean of another has to be computed manually based on calculus. Taking the partial derivative of average sales with respect to advertising yields produces the marginal effect on average sales of an increase in advertising;
The magnitude of the marginal effect depends on the parameters as well as on the level of advertising. In the example marginal effect is evaluated at two points, advert=.5 and advert=2. The code is:
1 scalar me1 = $coeff(advert)+2*(0.5)*$coeff(a2)
2 scalar me2 = $coeff(advert)+2*2*$coeff(a2)
3 printf "nThe marginal effect at $500 (advert=.5) is
4 %.3f and at $2000 (advert=2) is %.3fn",me1,me2 and the result is:
The marginal effect at $500 (advert=.5) is 9.383 and at $2000 (advert=2) is 1.079
In appendix 10F of POE4, the authors conduct a Monte Carlo experiment comparing the performance of OLS and TSLS. The basic simulation is based on the model y = x …
The Hausman test probes the consistency of the random effects estimator. The null hypothesis is that these estimates are consistent-that is, that the requirement of orthogonality of the model’s errors …
In this chapter we’ll estimate several models in which the variance of the dependent variable changes over time. These are broadly referred to as ARCH (autoregressive conditional heteroskedas - ticity) …
