Using margins with vce(unconditional) option after xtreg

Question

I am using Stata 13 and 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 with year dummies and a linear time trend

 xi: xtreg Y var1 var2 c.var1#c.var2 var3 i.Year i.IndvID|Year, fe vce(cluster IndvID)

(all variables are continuous except for dummies being created by i.Year and i.IndvID|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

 margins, dydx(var1) vce(unconditional)

I get the following error:

 xtreg is not supported by margins with the vce(unconditional) option

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 doesn't correct for this?

Thanks in advance,

-Mark

Ralph M Ralph M · Accepted Answer · 2015-12-21T22:49:04

The marginal effect of var1 and var2 are functions (of var1 and var2, respectively). If you want the marginal effect of var1 at the mean level of var2, for example, you can use the lincom command after the regression:

sum var2
local m1 = r(mean)
lincom var1 + `m1' * c.var1#c.var2

This calculates the point estimate of the marginal effect at the mean as well as the standard errors derived from the robust covariance matrix estimated in xtreg.

Using margins with vce(unconditional) option after xtreg

1 Answers