Marginal effects and standard errors for probit/logit models about fixest HOT 3 CLOSED

Hi, indeed, there's currently no tool to extract the marginal effects in the package.
But marginal effects are in the pipelines, although not quite there yet.

What you suggest is just a subsample of all possibilities that a function computing the marginal effects should have (i.e. it should be valid for any family, provide elasticities and semi-elasticities, not only be computed at means but for given values too).
Further, I should also ensure integration with other functions of the package (in particular summary and etable for exports).
Although it's straightforward to implement just what you suggest, when I create the real function which is more general, I would have to redesign the internal code for it to be simple and efficient. I would also have to add, modify and redefine the arguments of the original (small) marginal effects function -- and changes in arguments across package versions is really something that I don't like.
So I can't implement what you suggest at the moment because for me it would mean double work + headaches.

In your situation, I suggest to implement it yourself. For these families it's pretty straightforward since there are closed form solutions.

To finish, another reason I didn't implement marginal effects in the first place is that I don't recommend using my package so much for logit/probit models because of the incidental parameter problem (IPP). This implies systematic biases in the coefficients (for short panels) and would require to be solved, either with a jackknife or with an analytical bias correction (btw I'll implement the bias correction one day--but not yet).
I recommend instead to use the alpaca package. I shall also drop the benchmark with the logit in the README of the package because it can be misleading (at least users need to be aware of the IPP which is often not the case).

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I'm closing it then.

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Following demand from other users, I've written some code that computes the marginal effect at means.

It's not in the package because very meagre but it's functional. You can find it here: https://github.com/lrberge/fixest/blob/master/_Code%20snippets/fixest_snippets.R

It's just at means at the moment. Feel free to improve/extend it!

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