R预测包与Stata边际效应比较

Question

我正在从Stata转向R，当我使用预测计算边际预测和固定变量值为x的Stata命令margins的结果时，发现结果不一致。下面是一个例子：

library(dplyr)
library(prediction)

d <- data.frame(x1 = factor(c(1,1,1,2,2,2), levels = c(1, 2)),
            x2 = factor(c(1,2,3,1,2,3), levels = c(1, 2, 3)),
            x3 = factor(c(1,2,1,2,1,2), levels = c(1, 2)),
            y = c(3.1, 2.8, 2.5, 4.3, 4.0, 3.5))

m2 <- lm(y ~ x1 + x2 + x3, d)
summary(m2)

marg2a <- prediction(m2, at = list(x2 = "1"))
marg2b <- prediction(m2, at = list(x1 = "1"))

marg2a %>%
  select(x1, fitted) %>%
  group_by(x1) %>%
  summarise(error = mean(fitted))

marg2b %>%
  select(x2, fitted) %>%
  group_by(x2) %>%
  summarise(error = mean(fitted))

以下是结果：

# A tibble: 2 x 2
      x1    error
   <fctr>    <dbl>
1      1 3.133333
2      2 4.266667


# A tibble: 3 x 2
      x2 error
  <fctr> <dbl>
1      1 3.125
2      2 2.825
3      3 2.425

当我尝试使用Stata的边际命令进行复制时，得到了以下结果：

regress y i.x1 i.x2 i.x3
margins i.x1, at(x2 == 1)
margins i.x2, at(x1 == 1)


------------------------------------------------------------------------------
             |            Delta-method
             |     Margin   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          x1 |
          1  |      3.125   .0829157    37.69   0.017     2.071456    4.178544
          2  |      4.275   .0829157    51.56   0.012     3.221456    5.328544
------------------------------------------------------------------------------

------------------------------------------------------------------------------
             |            Delta-method
             |     Margin   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          x2 |
          1  |      3.125   .0829157    37.69   0.017     2.071456    4.178544
          2  |      2.825   .0829157    34.07   0.019     1.771456    3.878544
          3  |      2.425   .0829157    29.25   0.022     1.371456    3.478544
------------------------------------------------------------------------------

x2的边距在R和Stata中相同，但是对于x1存在差异，原因不明。非常感谢任何帮助。谢谢。

P

- pablocal

---

以略有不同的形式在https://www.statalist.org/forums/forum/general-stata-discussion/general/1404589-how-does-at-option-of-margins-work上发布了交叉帖子。 - user4690969

Answer 1

你的Stata和R代码并不相同。要复制那个Stata代码，你需要：

> prediction(m2, at = list(x1 = c("1", "2"), x2 = "1"))
Average predictions for 6 observations:
 at(x1) at(x2) value
      1      1 3.125
      2      1 4.275
> prediction(m2, at = list(x2 = c("1", "2", "3"), x1 = "1"))
Average predictions for 6 observations:
 at(x2) at(x1) value
      1      1 3.125
      2      1 2.825
      3      1 2.425

这是因为当您说“margins i.x1”时，您正在要求预测数据集的反事实版本，在该版本中，“x1”被替换为1，然后替换为2，并增加了一个约束条件，即在两个反事实情况下，“x2”保持为1。在您的第二个Stata示例中也发生了同样的事情。

这是由于Stata的“margins”命令存在歧义，或者说有两种语法表达式可以获得相同的输出结果。其中一种是您的代码：

. margins i.x1, at(x2 == 1)

Predictive margins                              Number of obs     =          6
Model VCE    : OLS

Expression   : Linear prediction, predict()
at           : x2              =           1

------------------------------------------------------------------------------
             |            Delta-method
             |     Margin   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          x1 |
          1  |      3.125   .0829156    37.69   0.017     2.071457    4.178543
          2  |      4.275   .0829156    51.56   0.012     3.221457    5.328543
------------------------------------------------------------------------------

另一个更明确地解释了上述发生的情况：

. margins, at(x1 = (1 2) x2 == 1)

Predictive margins                              Number of obs     =          6
Model VCE    : OLS

Expression   : Linear prediction, predict()

1._at        : x1              =           1
               x2              =           1

2._at        : x1              =           2
               x2              =           1

------------------------------------------------------------------------------
             |            Delta-method
             |     Margin   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
         _at |
          1  |      3.125   .0829156    37.69   0.017     2.071457    4.178543
          2  |      4.275   .0829156    51.56   0.012     3.221457    5.328543
------------------------------------------------------------------------------

- Thomas