Terza (2016b, Health Services Research 51: 1109–1113) gives the
correct generic expression for the asymptotic standard errors of statistics
formed as sample means of nonlinear data transformations. In this article, I
assess the performance of the Stata margins command as a
relatively simple alternative for calculating such standard errors. I note that
margins is not available for all packaged nonlinear
regression commands in Stata and cannot be implemented in conjunction with
user-defined-and-coded nonlinear estimation protocols that do not make a
predict command available. When
margins is available, however, I establish (using a
real-data example) that it produces standard errors that are asymptotically
equivalent to those obtained from the formulations in Terza (2016b) and the
appendix available with this article. This result favors using
margins (with its relative coding simplicity) when
available. In all other cases, use Mata to code the standard-error formulations
in Terza (2016b). I discuss examples, and I give corresponding Stata do-files in
appendices.
