Hi All,

I came across the article below. Appendix 3 (bias in conventional predicted probability formulas) seems to suggest that predicted probabilities and corresponding confidence intervals calculated by margins command (based on beta estimates) are biased. The author proposes simulation as a remedy, which looks cool but I am not fully convinced yet, because the simulation starts with the same beta estimates (to draw a distribution for each beta estimate) and relies on assumptions. Also, margins command uses the delta method to calculate standard errors. The author seems to suggest that confidence intervals produced by simulations are better than confidence intervals calculated using the delta method. If any of you can shed light upon the matters, I would appreciate it, as I am fond of margins command and would like to have more confidence to use it. Thank you.

Zelner, B. A. (2009). Using simulation to interpret results from logit, probit, and other nonlinear models. Strategic Management Journal, 30(12), 1335-1348.


Best,
An