MARGINS_DYNXTEPROBIT: Stata module to compute Marginal effects for a dynamic xteprobit with attrition

Alyssa Carlson

Statistical Software Components from Boston College Department of Economics

Abstract: margins_dynxteprobit is a post-estimation command that produces marginal effects estimates following a dynamic xteprobit model with endogenous attrition as proposed and studied by Carlson and Semykina (2026). It fits regression models with selection by using Heckman's two-step consistent estimator. In using the xteprobit command for a dynamic xteprobit model with endogenous attrition, estimation occurs on a subset of the data, the time periods that are observed and only the first time period of attrition. The margins command is confined to compute marginal effects on this subset sample. The margins_dynxteprobit command computes unconditional marginal effects (not conditional on non-attrition) averaged over the entire sample. The default is calculating marginal effects with respect to the binary lagged dependent variable in the dynamic model. Other capabilities include estimating marginal effects of other continuous variables (evaluated at fixed values of the lagged binary dependent variable); estimating marginal effects of discrete variables as specified differences (evaluated at fixed values of the lagged binary dependent variable); and estimating marginal effects at specified values of the covariates.

Language: Stata
Requires: Stata version 16
Keywords: panel data; probit; margins (search for similar items in EconPapers)
Date: 2026-03-14
Note: This module should be installed from within Stata by typing "ssc install margins_dynxteprobit". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/m/margins_dynxteprobit.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/margins_dynxteprobit.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/margins_dynxteprobit_examples.do sample code (text/plain)

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