Hi, I wonder if there is a function in (some package of) R which computes marginal effects of the variables in a glm, say, for concretness, a probit model. By marginal effects of the covariate x_j I mean d P(y=1 | x), which is approx g(xB)B_j dx_j where g is the pdf of the normal distribution, x is the vector of covariates (at some points, say, the mean values) and B is the estimated vector of coefficients. Of course, it isn't difficult to write such a function, but that's exactly why I find it strange the fact that I didn't find it. Also, I couldn't find a function which gives the percent correctly predicted for some threshold, say, .5 (something usually reported). Any suggestions where to look for these two functions? Many thanks, Dimitri
marginal effects in glm's
1 message · Dimitri Szerman