14 Alternative Software
If you do not like marginaleffects
, you may want to consider one of the alternatives described below:
-
margins
: https://cran.r-project.org/web/packages/margins/index.html -
prediction
: https://cran.r-project.org/web/packages/prediction/index.html -
emmeans
: https://cran.r-project.org/web/packages/emmeans/index.html -
brmsmargins
: https://joshuawiley.com/brmsmargins/ -
effects
: https://cran.r-project.org/package=effects -
modelbased
: https://easystats.github.io/modelbased/ -
ggeffects
: https://strengejacke.github.io/ggeffects/ -
Stata
by StataCorp LLC
14.1 emmeans
The emmeans
package is developed by Russell V. Lenth and colleagues. emmeans
is a truly incredible piece of software, and a trailblazer in the R
ecosystem. It is an extremely powerful package whose functionality overlaps marginaleffects
to a significant degree: marginal means, contrasts, and slopes. Even if the two packages can compute many of the same quantities, emmeans
and marginaleffects
have pretty different philosophies with respect to user interface and computation.
An emmeans
analysis typically starts by computing “marginal means” by holding all numeric covariates at their means, and by averaging across a balanced grid of categorical predictors. Then, users can use the contrast()
function to estimate the difference between marginal means.
The marginaleffects
package supplies a predictions
function which can replicate most emmeans
analyses by computing marginal means. However, the typical analysis is more squarely centered on predicted/fitted values. This is a useful starting point because, in many cases, analysts will find it easy and intuitive to express their scientific queries in terms of changes in predicted values. For example,
- How does the average predicted probability of survival differ between treatment and control group?
- What is the difference between the predicted wage of college and high school graduates?
Let’s say we estimate a linear regression model with two continuous regressors and a multiplicative interaction:
\[y = \beta_0 + \beta_1 x + \beta_2 z + \beta_3 x \cdot z + \varepsilon\]
In this model, the effect of \(x\) on \(y\) will depend on the value of covariate \(z\). Let’s say the user wants to estimate what happens to the predicted value of \(y\) when \(x\) increases by 1 unit, when \(z \in \{-1, 0, 1\}\). To do this, we use the comparisons()
function. The variables
argument determines the scientific query of interest, and the newdata
argument determines the grid of covariate values on which we want to evaluate the query:
As the vignettes show, marginaleffects
can also compute contrasts on marginal means. It can also compute various quantities of interest like raw fitted values, slopes (partial derivatives), and contrasts between marginal means. It also offers a flexible mechanism to run (non-)linear hypothesis tests using the delta method, and it offers fully customizable strategy to compute quantities like odds ratios (or completely arbitrary functions of predicted outcome).
Thus, in my (Vincent’s) biased opinion, the main benefits of marginaleffects
over emmeans
are:
- Support more model types.
- Simpler, more intuitive, and highly consistent user interface.
- Easier to compute average slopes or unit-level contrasts for whole datasets.
- Easier to compute slopes (aka marginal effects, trends, or partial derivatives) for custom grids and continuous regressors.
- Easier to implement causal inference strategies like the parametric g-formula and regression adjustment in experiments (see vignettes).
- Allows the computation of arbitrary quantities of interest via user-supplied functions and automatic delta method inference.
- Common plots are easy with the
plot_predictions()
,plot_comparisons()
, andplot_slopes()
functions.
To be fair, many of the marginaleffects
advantages listed above come down to subjective preferences over user interface. Readers are thus encouraged to try both packages to see which interface they prefer.
The main advantages of emmeans
over marginaleffects
arise when users are specifically interested in marginal means, where emmeans
tends to be much faster and to have a lot of functionality to handle backtransformations. emmeans
also has better functionality for effect sizes; notably, the eff_size()
function can return effect size estimates that account for uncertainty in both estimated effects and the population SD.
Please let me know if you find other features in emmeans
so I can add them to this list.
The Marginal Means Vignette includes side-by-side comparisons of emmeans
and marginaleffects
to compute marginal means. The rest of this section compares the syntax for contrasts and marginaleffects.
14.1.1 Contrasts
As far as I can tell, emmeans
does not provide an easy way to compute unit-level contrasts for every row of the dataset used to fit our model. Therefore, the side-by-side syntax shown below will always include newdata=datagrid()
to specify that we want to compute only one contrast: at the mean values of the regressors. In day-to-day practice with slopes()
, however, this extra argument would not be necessary.
Fit a model:
Link scale, pairwise contrasts:
contrast estimate SE df z.ratio p.value
cyl6 - cyl4 -0.905 1.63 Inf -0.555 0.5789
cyl8 - cyl4 -19.542 4367.17 Inf -0.004 0.9964
cyl8 - cyl6 -18.637 4367.16 Inf -0.004 0.9966
Degrees-of-freedom method: user-specified
Results are given on the log odds ratio (not the response) scale.
comparisons(mod,
type = "link",
newdata = "mean",
variables = list(cyl = "pairwise"))
Warning: The `cyl` variable is treated as a categorical (factor) variable, but
the original data is of class numeric. It is safer and faster to convert
such variables to factor before fitting the model and calling a
`marginaleffects` function.
This warning appears once per session.
FALSE
Contrast Estimate Std. Error z Pr(>|z|) S 2.5 % 97.5 % hp
6 - 4 -0.905 1.63 -0.55506 0.579 0.8 -4.1 2.29 147
8 - 4 -19.542 4367.17 -0.00447 0.996 0.0 -8579.0 8539.95 147
8 - 6 -18.637 4367.17 -0.00427 0.997 0.0 -8578.1 8540.85 147
Term: cyl
Type: link
Columns: rowid, term, contrast, estimate, std.error, statistic, p.value, s.value, conf.low, conf.high, predicted_lo, predicted_hi, predicted, hp, cyl, vs
Response scale, reference groups:
emm <- emmeans(mod, specs = "cyl", regrid = "response")
contrast(emm, method = "trt.vs.ctrl1", adjust = "none", df = Inf, ratios = FALSE)
contrast estimate SE df z.ratio p.value
cyl6 - cyl4 -0.222 0.394 Inf -0.564 0.5727
cyl8 - cyl4 -0.595 0.511 Inf -1.163 0.2447
Degrees-of-freedom method: user-specified
comparisons(mod, newdata = "mean")
Term Contrast Estimate Std. Error z Pr(>|z|) S 2.5 % 97.5 %
cyl 6 - 4 -2.22e-01 3.94e-01 -0.564103 0.573 0.8 -9.94e-01 5.50e-01
cyl 8 - 4 -5.95e-01 5.11e-01 -1.163332 0.245 2.0 -1.60e+00 4.07e-01
hp +1 -1.53e-10 6.69e-07 -0.000229 1.000 0.0 -1.31e-06 1.31e-06
hp cyl
147 8
147 8
147 8
Type: response
Columns: rowid, term, contrast, estimate, std.error, statistic, p.value, s.value, conf.low, conf.high, predicted_lo, predicted_hi, predicted, hp, cyl, vs
14.1.2 Contrasts by group
Here is a slightly more complicated example with contrasts estimated by subgroup in a lme4
mixed effects model. First we estimate a model and compute pairwise contrasts by subgroup using emmeans
:
library(dplyr)
library(lme4)
library(emmeans)
dat <- read.csv("https://vincentarelbundock.github.io/Rdatasets/csv/lme4/VerbAgg.csv")
dat$woman <- as.numeric(dat$Gender == "F")
mod <- glmer(
woman ~ btype * resp + situ + (1 + Anger | item),
family = binomial,
data = dat)
boundary (singular) fit: see help('isSingular')
resp = no:
contrast estimate SE df z.ratio p.value
scold - curse -0.0152 0.1097 Inf -0.139 0.8898
shout - curse -0.2533 0.1022 Inf -2.479 0.0132
shout - scold -0.2381 0.0886 Inf -2.686 0.0072
resp = perhaps:
contrast estimate SE df z.ratio p.value
scold - curse -0.2393 0.1178 Inf -2.031 0.0422
shout - curse -0.0834 0.1330 Inf -0.627 0.5309
shout - scold 0.1559 0.1358 Inf 1.148 0.2510
resp = yes:
contrast estimate SE df z.ratio p.value
scold - curse 0.0391 0.1292 Inf 0.302 0.7624
shout - curse 0.5802 0.1784 Inf 3.252 0.0011
shout - scold 0.5411 0.1888 Inf 2.866 0.0042
Results are averaged over the levels of: situ
Results are given on the log odds ratio (not the response) scale.
What did emmeans
do to obtain these results? Roughly speaking:
- Create a prediction grid with one cell for each combination of categorical predictors in the model, and all numeric variables held at their means.
- Make adjusted predictions in each cell of the prediction grid.
- Take the average of those predictions (marginal means) for each combination of
btype
(focal variable) andresp
(groupby
variable). - Compute pairwise differences (contrasts) in marginal means across different levels of the focal variable
btype
.
In short, emmeans
computes pairwise contrasts between marginal means, which are themselves averages of adjusted predictions. This is different from the default types of contrasts produced by comparisons()
, which reports contrasts between adjusted predictions, without averaging across a pre-specified grid of predictors. What does comparisons()
do instead?
Let newdata
be a data frame supplied by the user (or the original data frame used to fit the model), then:
- Create a new data frame called
newdata2
, which is identical tonewdata
except that the focal variable is incremented by one level. - Compute contrasts as the difference between adjusted predictions made on the two datasets:
predict(model, newdata = newdata2) - predict(model, newdata = newdata)
Although it is not idiomatic, we can use still use comparisons()
to emulate the emmeans
results. First, we create a prediction grid with one cell for each combination of categorical predictor in the model:
This grid has 18 rows, one for each combination of levels for the resp
(3), situ
(2), and btype
(3) variables (3 * 2 * 3 = 18).
Then we compute pairwise contrasts over this grid:
cmp <- comparisons(mod,
variables = list("btype" = "pairwise"),
newdata = nd,
type = "link")
Warning: For this model type, `marginaleffects` only takes into account the
uncertainty in fixed-effect parameters. You can use the `re.form=NA`
argument to acknowledge this explicitly and silence this warning.
nrow(cmp)
[1] 54
There are 3 pairwise contrasts, corresponding to the 3 pairwise comparisons possible between the 3 levels of the focal variable btype
: scold-curse
, shout-scold
, shout-curse
. The comparisons()
function estimates those 3 contrasts for each row of newdata
, so we get \(18 \times 3 = 54\) rows.
Finally, if we wanted contrasts averaged over each subgroup of the resp
variable, we can use the avg_comparisons()
function with the by
argument:
avg_comparisons(mod,
by = "resp",
variables = list("btype" = "pairwise"),
newdata = nd,
type = "link")
Warning: For this model type, `marginaleffects` only takes into account the
uncertainty in fixed-effect parameters. You can use the `re.form=NA`
argument to acknowledge this explicitly and silence this warning.
Term Contrast resp Estimate Std. Error z Pr(>|z|)
btype mean(scold) - mean(curse) no -0.0152 0.1097 -0.139 0.88976
btype mean(scold) - mean(curse) perhaps -0.2393 0.1178 -2.031 0.04221
btype mean(scold) - mean(curse) yes 0.0391 0.1292 0.302 0.76239
btype mean(shout) - mean(curse) no -0.2533 0.1022 -2.479 0.01319
btype mean(shout) - mean(curse) perhaps -0.0834 0.1330 -0.627 0.53091
btype mean(shout) - mean(curse) yes 0.5802 0.1784 3.252 0.00115
btype mean(shout) - mean(scold) no -0.2381 0.0886 -2.686 0.00723
btype mean(shout) - mean(scold) perhaps 0.1559 0.1358 1.148 0.25103
btype mean(shout) - mean(scold) yes 0.5411 0.1888 2.866 0.00416
S 2.5 % 97.5 %
0.2 -0.230 0.19971
4.6 -0.470 -0.00842
0.4 -0.214 0.29234
6.2 -0.454 -0.05301
0.9 -0.344 0.17738
9.8 0.230 0.92987
7.1 -0.412 -0.06436
2.0 -0.110 0.42215
7.9 0.171 0.91116
Type: link
Columns: term, contrast, resp, estimate, std.error, statistic, p.value, s.value, conf.low, conf.high, predicted_lo, predicted_hi, predicted
These results are identical to those produced by emmeans
(except for \(t\) vs. \(z\)).
14.1.3 Marginal Effects
As far as I can tell, emmeans::emtrends
makes it easier to compute marginal effects for a few user-specified values than for large grids or for the full original dataset.
Response scale, user-specified values:
mod <- glm(vs ~ hp + factor(cyl), data = mtcars, family = binomial)
emtrends(mod, ~hp, "hp", regrid = "response", at = list(cyl = 4))
hp hp.trend SE df asymp.LCL asymp.UCL
147 -0.00786 0.011 Inf -0.0294 0.0137
Confidence level used: 0.95
Contrast cyl Estimate Std. Error z Pr(>|z|) S 2.5 % 97.5 %
6 - 4 4 -0.22219 0.394 -0.564 0.573 0.8 -0.9942 0.5498
8 - 4 4 -0.59469 0.511 -1.163 0.245 2.0 -1.5966 0.4072
dY/dX 4 -0.00785 0.011 -0.713 0.476 1.1 -0.0294 0.0137
Term: cyl
Type: response
Columns: rowid, term, contrast, estimate, std.error, statistic, p.value, s.value, conf.low, conf.high, cyl, predicted_lo, predicted_hi, predicted, hp, vs
Link scale, user-specified values:
hp hp.trend SE df asymp.LCL asymp.UCL
147 -0.0326 0.0339 Inf -0.099 0.0338
Confidence level used: 0.95
Contrast cyl Estimate Std. Error z Pr(>|z|) S 2.5 % 97.5 %
6 - 4 4 -0.9049 1.63e+00 -0.55506 0.579 0.8 -4.100 2.29e+00
8 - 4 4 -19.5418 4.37e+03 -0.00447 0.996 0.0 -8579.030 8.54e+03
dY/dX 4 -0.0326 3.39e-02 -0.96144 0.336 1.6 -0.099 3.38e-02
Term: cyl
Type: link
Columns: rowid, term, contrast, estimate, std.error, statistic, p.value, s.value, conf.low, conf.high, cyl, predicted_lo, predicted_hi, predicted, hp, vs
14.1.4 More examples
Here are a few more emmeans
vs. marginaleffects
comparisons:
## Example of examining a continuous x categorical interaction using emmeans and marginaleffects
## Authors: Cameron Patrick and Vincent Arel-Bundock
library(tidyverse)
library(emmeans)
library(marginaleffects)
## use the mtcars data, set up am as a factor
data(mtcars)
<- mtcars |> mutate(am = factor(am))
mc
## fit a linear model to mpg with wt x am interaction
<- lm(mpg ~ wt*am, data = mc)
m summary(m)
## 1. means for each level of am at mean wt.
emmeans(m, "am")
predictions(m, newdata = datagrid(am = 0:1))
## 2. means for each level of am at wt = 2.5, 3, 3.5.
emmeans(m, c("am", "wt"), at = list(wt = c(2.5, 3, 3.5)))
predictions(m, newdata = datagrid(am = 0:1, wt = c(2.5, 3, 3.5))
## 3. means for wt = 2.5, 3, 3.5, averaged over levels of am (implicitly!).
emmeans(m, "wt", at = list(wt = c(2.5, 3, 3.5)))
## same thing, but the averaging is more explicit, using the `by` argument
predictions(
m,newdata = datagrid(am = 0:1, wt = c(2.5, 3, 3.5)),
by = "wt")
## 4. graphical version of 2.
emmip(m, am ~ wt, at = list(wt = c(2.5, 3, 3.5)), CIs = TRUE)
plot_predictions(m, condition = c("wt", "am"))
## 5. compare levels of am at specific values of wt.
## this is a bit ugly because the emmeans defaults for pairs() are silly.
## infer = TRUE: enable confidence intervals.
## adjust = "none": begone, Tukey.
## reverse = TRUE: contrasts as (later level) - (earlier level)
pairs(emmeans(m, "am", by = "wt", at = list(wt = c(2.5, 3, 3.5))),
infer = TRUE, adjust = "none", reverse = TRUE)
comparisons(
m,variables = "am",
newdata = datagrid(wt = c(2.5, 3, 3.5)))
## 6. plot of pairswise comparisons
plot(pairs(emmeans(m, "am", by = "wt", at = list(wt = c(2.5, 3, 3.5))),
infer = TRUE, adjust = "none", reverse = TRUE))
## Since `wt` is numeric, the default is to plot it as a continuous variable on
## the x-axis. But not that this is the **exact same info** as in the emmeans plot.
plot_comparisons(m, variables = "am", condition = "wt")
## You of course customize everything, set draw=FALSE, and feed the raw data to feed to ggplot2
<- plot_comparisons(
p
m,variables = "am",
condition = list(wt = c(2.5, 3, 3.5)),
draw = FALSE)
ggplot(p, aes(y = wt, x = comparison, xmin = conf.low, xmax = conf.high)) +
geom_pointrange()
## 7. slope of wt for each level of am
emtrends(m, "am", "wt")
slopes(m, newdata = datagrid(am = 0:1))
14.2 margins
and prediction
The margins
and prediction
packages for R
were designed by Thomas Leeper to emulate the behavior of the margins
command from Stata
. These packages are trailblazers and strongly influenced the development of marginaleffects
. The main benefits of marginaleffects
over these packages are:
- Support more model types
- Faster
- Memory efficient
- Plots using
ggplot2
instead of Base R - More extensive test suite
- Active development
The syntax of the two packages is very similar.
14.2.1 Average Marginal Effects
library(margins)
library(marginaleffects)
mod <- lm(mpg ~ cyl + hp + wt, data = mtcars)
mar <- margins(mod)
summary(mar)
factor AME SE z p lower upper
cyl -0.9416 0.5509 -1.7092 0.0874 -2.0214 0.1382
hp -0.0180 0.0119 -1.5188 0.1288 -0.0413 0.0052
wt -3.1670 0.7406 -4.2764 0.0000 -4.6185 -1.7155
mfx <- slopes(mod)
14.2.2 Individual-Level Marginal Effects
Marginal effects in a user-specified data frame:
head(data.frame(mar))
mpg cyl disp hp drat wt qsec vs am gear carb fitted se.fitted
1 21.0 6 160 110 3.90 2.620 16.46 0 1 4 4 22.82043 0.6876212
2 21.0 6 160 110 3.90 2.875 17.02 0 1 4 4 22.01285 0.6056817
3 22.8 4 108 93 3.85 2.320 18.61 1 1 4 1 25.96040 0.7349593
4 21.4 6 258 110 3.08 3.215 19.44 1 0 3 1 20.93608 0.5800910
5 18.7 8 360 175 3.15 3.440 17.02 0 0 3 2 17.16780 0.8322986
6 18.1 6 225 105 2.76 3.460 20.22 1 0 3 1 20.25036 0.6638322
dydx_cyl dydx_hp dydx_wt Var_dydx_cyl Var_dydx_hp Var_dydx_wt
1 -0.9416168 -0.0180381 -3.166973 0.3035123 0.0001410453 0.5484513
2 -0.9416168 -0.0180381 -3.166973 0.3035123 0.0001410453 0.5484513
3 -0.9416168 -0.0180381 -3.166973 0.3035123 0.0001410453 0.5484513
4 -0.9416168 -0.0180381 -3.166973 0.3035123 0.0001410453 0.5484513
5 -0.9416168 -0.0180381 -3.166973 0.3035123 0.0001410453 0.5484513
6 -0.9416168 -0.0180381 -3.166973 0.3035123 0.0001410453 0.5484513
X_weights X_at_number
1 NA 1
2 NA 1
3 NA 1
4 NA 1
5 NA 1
6 NA 1
head(mfx)
Estimate Std. Error z Pr(>|z|) S 2.5 % 97.5 %
-0.942 0.552 -1.71 0.0879 3.5 -2.02 0.140
-0.942 0.552 -1.71 0.0879 3.5 -2.02 0.140
-0.942 0.552 -1.71 0.0879 3.5 -2.02 0.140
-0.942 0.552 -1.71 0.0879 3.5 -2.02 0.140
-0.942 0.551 -1.71 0.0873 3.5 -2.02 0.138
-0.942 0.552 -1.71 0.0879 3.5 -2.02 0.140
Term: cyl
Type: response
Columns: rowid, term, estimate, std.error, statistic, p.value, s.value, conf.low, conf.high, predicted_lo, predicted_hi, predicted, mpg, cyl, hp, wt
nd <- data.frame(cyl = 4, hp = 110, wt = 3)
14.2.3 Marginal Effects at the Mean
mar <- margins(mod, data = data.frame(prediction::mean_or_mode(mtcars)), unit_ses = TRUE)
data.frame(mar)
mpg cyl disp hp drat wt qsec vs am
1 20.09062 6.1875 230.7219 146.6875 3.596563 3.21725 17.84875 0.4375 0.40625
gear carb fitted se.fitted dydx_cyl dydx_hp dydx_wt Var_dydx_cyl
1 3.6875 2.8125 20.09062 0.4439832 -0.9416168 -0.0180381 -3.166973 0.3035082
Var_dydx_hp Var_dydx_wt SE_dydx_cyl SE_dydx_hp SE_dydx_wt X_weights
1 0.0001410453 0.5484409 0.5509157 0.01187625 0.7405679 NA
X_at_number
1 1
slopes(mod, newdata = "mean")
Term Estimate Std. Error z Pr(>|z|) S 2.5 % 97.5 %
cyl -0.942 0.5503 -1.71 0.0871 3.5 -2.0202 0.13695
hp -0.018 0.0119 -1.52 0.1288 3.0 -0.0413 0.00524
wt -3.167 0.7407 -4.28 <0.001 15.7 -4.6187 -1.71521
Type: response
Columns: rowid, term, estimate, std.error, statistic, p.value, s.value, conf.low, conf.high, predicted_lo, predicted_hi, predicted, cyl, hp, wt, mpg
14.2.4 Counterfactual Average Marginal Effects
The at
argument of the margins
package emulates Stata
by fixing the values of some variables at user-specified values, and by replicating the full dataset several times for each combination of the supplied values (see the Stata
section below). For example, if the dataset includes 32 rows and the user calls at=list(cyl=c(4, 6))
, margins
will compute 64 unit-level marginal effects estimates:
dat <- mtcars
dat$cyl <- factor(dat$cyl)
mod <- lm(mpg ~ cyl * hp + wt, data = mtcars)
mar <- margins(mod, at = list(cyl = c(4, 6, 8)))
summary(mar)
factor cyl AME SE z p lower upper
cyl 4.0000 0.0381 0.5999 0.0636 0.9493 -1.1376 1.2139
cyl 6.0000 0.0381 0.5999 0.0636 0.9493 -1.1376 1.2139
cyl 8.0000 0.0381 0.5999 0.0636 0.9493 -1.1376 1.2139
hp 4.0000 -0.0878 0.0267 -3.2937 0.0010 -0.1400 -0.0355
hp 6.0000 -0.0499 0.0154 -3.2397 0.0012 -0.0800 -0.0197
hp 8.0000 -0.0120 0.0108 -1.1065 0.2685 -0.0332 0.0092
wt 4.0000 -3.1198 0.6613 -4.7175 0.0000 -4.4160 -1.8236
wt 6.0000 -3.1198 0.6613 -4.7175 0.0000 -4.4160 -1.8236
wt 8.0000 -3.1198 0.6613 -4.7175 0.0000 -4.4160 -1.8236
avg_slopes(
mod,
by = "cyl",
newdata = datagrid(cyl = c(4, 6, 8)), grid_type = "counterfactual")
Warning: These arguments are not known to be supported for models of class
`lm`: grid_type. All arguments are still passed to the model-specific
prediction function, but users are encouraged to check if the argument is
indeed supported by their modeling package. Please file a request on Github if
you believe that an unknown argument should be added to the `marginaleffects`
white list of known arguments, in order to avoid raising this warning:
https://github.com/vincentarelbundock/marginaleffects/issues
Warning: These arguments are not known to be supported for models of class
`lm`: grid_type. All arguments are still passed to the model-specific
prediction function, but users are encouraged to check if the argument is
indeed supported by their modeling package. Please file a request on Github if
you believe that an unknown argument should be added to the `marginaleffects`
white list of known arguments, in order to avoid raising this warning:
https://github.com/vincentarelbundock/marginaleffects/issues
Term cyl Estimate Std. Error z Pr(>|z|) S 2.5 % 97.5 %
cyl 4 0.0381 0.5998 0.0636 0.94931 0.1 -1.1375 1.21381
cyl 6 0.0381 0.5999 0.0636 0.94931 0.1 -1.1376 1.21390
cyl 8 0.0381 0.6000 0.0636 0.94932 0.1 -1.1378 1.21412
hp 4 -0.0878 0.0267 -3.2935 < 0.001 10.0 -0.1400 -0.03554
hp 6 -0.0499 0.0154 -3.2401 0.00119 9.7 -0.0800 -0.01970
hp 8 -0.0120 0.0108 -1.1065 0.26851 1.9 -0.0332 0.00923
wt 4 -3.1198 0.6614 -4.7173 < 0.001 18.7 -4.4161 -1.82358
wt 6 -3.1198 0.6612 -4.7182 < 0.001 18.7 -4.4158 -1.82384
wt 8 -3.1198 0.6614 -4.7173 < 0.001 18.7 -4.4161 -1.82358
Type: response
Comparison: mean(dY/dX)
Columns: rowid, term, contrast, cyl, estimate, std.error, statistic, p.value, s.value, conf.low, conf.high, predicted_lo, predicted_hi, predicted
14.2.5 Adjusted Predictions
The syntax to compute adjusted predictions using the predictions
package or marginaleffects
is very similar:
prediction::prediction(mod) |> head()
mpg cyl disp hp drat wt qsec vs am gear carb fitted se.fitted
1 21.0 6 160 110 3.90 2.620 16.46 0 1 4 4 21.90488 0.6927034
2 21.0 6 160 110 3.90 2.875 17.02 0 1 4 4 21.10933 0.6266557
3 22.8 4 108 93 3.85 2.320 18.61 1 1 4 1 25.64753 0.6652076
4 21.4 6 258 110 3.08 3.215 19.44 1 0 3 1 20.04859 0.6041400
5 18.7 8 360 175 3.15 3.440 17.02 0 0 3 2 17.25445 0.7436172
6 18.1 6 225 105 2.76 3.460 20.22 1 0 3 1 19.53360 0.6436862
marginaleffects::predictions(mod) |> head()
Estimate Std. Error z Pr(>|z|) S 2.5 % 97.5 %
21.9 0.693 31.6 <0.001 726.6 20.5 23.3
21.1 0.627 33.7 <0.001 823.9 19.9 22.3
25.6 0.665 38.6 <0.001 Inf 24.3 27.0
20.0 0.604 33.2 <0.001 799.8 18.9 21.2
17.3 0.744 23.2 <0.001 393.2 15.8 18.7
19.5 0.644 30.3 <0.001 669.5 18.3 20.8
Type: response
Columns: rowid, estimate, std.error, statistic, p.value, s.value, conf.low, conf.high, mpg, cyl, hp, wt
14.3 Stata
Stata
is a good but expensive software package for statistical analysis. It is published by StataCorp LLC. This section compares Stata
’s margins
command to marginaleffects
.
The results produced by marginaleffects
are extensively tested against Stata
. See the test suite for a list of the dozens of models where we compared estimates and standard errors.
14.3.1 Average Marginal Effect (AMEs)
Marginal effects are unit-level quantities. To compute “average marginal effects”, we first calculate marginal effects for each observation in a dataset. Then, we take the mean of those unit-level marginal effects.
14.3.1.1 Stata
Both Stata’s margins
command and the slopes
function can calculate average marginal effects (AMEs). Here is an example showing how to estimate AMEs in Stata:
quietly reg mpg cyl hp wt
margins, dydx(*)
Average marginal effects Number of obs = 32
Model VCE : OLS
Expression : Linear prediction, predict()
dy/dx w.r.t. : cyl hp wt
------------------------------------------------------------------------------
| Delta-method
| dy/dx Std. Err. t P>|t| [95% Conf. Interval]
------------------------------------------------------------------------------
cyl | -.9416168 .5509164 -1.71 0.098 -2.070118 .1868842
hp | -.0180381 .0118762 -1.52 0.140 -.0423655 .0062893
wt | -3.166973 .7405759 -4.28 0.000 -4.683974 -1.649972
------------------------------------------------------------------------------
14.3.1.2 marginaleffects
The same results can be obtained with slopes()
and summary()
like this:
library("marginaleffects")
mod <- lm(mpg ~ cyl + hp + wt, data = mtcars)
avg_slopes(mod)
Term Estimate Std. Error z Pr(>|z|) S 2.5 % 97.5 %
cyl -0.942 0.5512 -1.71 0.0876 3.5 -2.0220 0.13879
hp -0.018 0.0119 -1.52 0.1288 3.0 -0.0413 0.00524
wt -3.167 0.7406 -4.28 <0.001 15.7 -4.6184 -1.71552
Type: response
Comparison: mean(dY/dX)
Columns: term, contrast, estimate, std.error, statistic, p.value, s.value, conf.low, conf.high, predicted_lo, predicted_hi, predicted
Note that Stata
reports t statistics while marginaleffects
reports Z. This produces slightly different p-values because this model has low degrees of freedom: mtcars
only has 32 rows
14.3.2 Counterfactual Marginal Effects
A “counterfactual marginal effect” is a special quantity obtained by replicating a dataset while fixing some regressor to user-defined values.
Concretely, Stata computes counterfactual marginal effects in 3 steps:
- Duplicate the whole dataset 3 times and sets the values of
cyl
to the three specified values in each of those subsets. - Calculate marginal effects for each observation in that large grid.
- Take the average of marginal effects for each value of the variable of interest.
14.3.2.1 Stata
With the at
argument, Stata’s margins
command estimates average counterfactual marginal effects. Here is an example:
quietly reg mpg i.cyl##c.hp wt
margins, dydx(hp) at(cyl = (4 6 8))
Average marginal effects Number of obs = 32
Model VCE : OLS
Expression : Linear prediction, predict()
dy/dx w.r.t. : hp
1._at : cyl = 4
2._at : cyl = 6
3._at : cyl = 8
------------------------------------------------------------------------------
| Delta-method
| dy/dx Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
hp |
_at |
1 | -.099466 .0348665 -2.85 0.009 -.1712749 -.0276571
2 | -.0213768 .038822 -0.55 0.587 -.1013323 .0585787
3 | -.013441 .0125138 -1.07 0.293 -.0392137 .0123317
------------------------------------------------------------------------------
14.3.2.2 marginaleffects
You can estimate average counterfactual marginal effects with slopes()
by using the datagrid()
to create a counterfactual dataset in which the full original dataset is replicated for each potential value of the cyl
variable. Then, we tell the by
argument to average within groups:
mod <- lm(mpg ~ as.factor(cyl) * hp + wt, data = mtcars)
avg_slopes(
mod,
variables = "hp",
by = "cyl",
newdata = datagrid(cyl = c(4, 6, 8), grid_type = "counterfactual"))
Term cyl Estimate Std. Error z Pr(>|z|) S 2.5 % 97.5 %
hp 4 -0.0995 0.0349 -2.853 0.00433 7.9 -0.1678 -0.0311
hp 6 -0.0214 0.0388 -0.551 0.58189 0.8 -0.0975 0.0547
hp 8 -0.0134 0.0125 -1.074 0.28278 1.8 -0.0380 0.0111
Type: response
Comparison: mean(dY/dX)
Columns: term, contrast, cyl, estimate, std.error, statistic, p.value, s.value, conf.low, conf.high, predicted_lo, predicted_hi, predicted
This is equivalent to taking the group-wise mean of observation-level marginal effects (without the by
argument):
mfx <- slopes(
mod,
variables = "hp",
newdata = datagrid(cyl = c(4, 6, 8), grid_type = "counterfactual"))
aggregate(estimate ~ term + cyl, data = mfx, FUN = mean)
term cyl estimate
1 hp 4 -0.09946598
2 hp 6 -0.02137679
3 hp 8 -0.01344103
Note that following Stata
, the standard errors for group-averaged marginal effects are computed by taking the “Jacobian at the mean:”
14.3.3 Average Counterfactual Adjusted Predictions
14.3.3.1 Stata
Just like Stata’s margins
command computes average counterfactual marginal effects, it can also estimate average counterfactual adjusted predictions.
Here is an example:
quietly reg mpg i.cyl##c.hp wt
margins, at(cyl = (4 6 8))
Predictive margins Number of obs = 32
Model VCE : OLS
Expression : Linear prediction, predict()
1._at : cyl = 4
2._at : cyl = 6
3._at : cyl = 8
------------------------------------------------------------------------------
| Delta-method
| Margin Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
_at |
1 | 17.44233 2.372914 7.35 0.000 12.55522 22.32944
2 | 18.9149 1.291483 14.65 0.000 16.25505 21.57476
3 | 18.33318 1.123874 16.31 0.000 16.01852 20.64785
------------------------------------------------------------------------------
Again, this is what Stata does in the background:
- It duplicates the whole dataset 3 times and sets the values of
cyl
to the three specified values in each of those subsets. - It calculates predictions for that large grid.
- It takes the average prediction for each value of
cyl
.
In other words, average counterfactual adjusted predictions as implemented by Stata are a hybrid between predictions at the observed values (the default in marginaleffects::predictions
) and predictions at representative values.
14.3.3.2 marginaleffects
You can estimate average counterfactual adjusted predictions with predictions()
by, first, setting the grid_type
argument of datagrid()
to "counterfactual"
and, second, by averaging the predictions using the by
argument of summary()
, or a manual function like dplyr::summarise()
.
mod <- lm(mpg ~ as.factor(cyl) * hp + wt, data = mtcars)
predictions(
mod,
by = "cyl",
newdata = datagrid(cyl = c(4, 6, 8), grid_type = "counterfactual"))
cyl Estimate Std. Error z Pr(>|z|) S 2.5 % 97.5 %
4 17.4 2.37 7.35 <0.001 42.2 12.8 22.1
6 18.9 1.29 14.65 <0.001 158.9 16.4 21.4
8 18.3 1.12 16.31 <0.001 196.3 16.1 20.5
Type: response
Columns: cyl, estimate, std.error, statistic, p.value, s.value, conf.low, conf.high
predictions(
mod,
newdata = datagrid(cyl = c(4, 6, 8), grid_type = "counterfactual")) |>
group_by(cyl) |>
summarize(AAP = mean(estimate))
# A tibble: 3 × 2
cyl AAP
<fct> <dbl>
1 4 17.4
2 6 18.9
3 8 18.3
14.4 brmsmargins
The brmsmargins
package is developed by Joshua Wiley:
This package has functions to calculate marginal effects from brms models ( http://paul-buerkner.github.io/brms/ ). A central motivator is to calculate average marginal effects (AMEs) for continuous and discrete predictors in fixed effects only and mixed effects regression models including location scale models.
The main advantage of brmsmargins
over marginaleffects
is its ability to compute “Marginal Coefficients” following the method described in Hedeker et al (2012).
The main advantages of marginaleffects
over brmsmargins
are:
- Support for 60+ model types, rather than just the
brms
package. - Simpler user interface (subjective).
- At the time of writing (2022-05-25)
brmsmargins
did not support certainbrms
models such as those with multivariate or multinomial outcomes. It also did not support custom outcome transformations.
The rest of this section presents side-by-side replications of some of the analyses from the brmsmargins
vignettes in order to show highlight parallels and differences in syntax.
14.4.1 Marginal Effects for Fixed Effects Models
14.4.1.1 AMEs for Logistic Regression
Estimate a logistic regression model with brms
:
library(brms)
library(brmsmargins)
library(marginaleffects)
library(data.table)
library(withr)
setDTthreads(5)
h <- 1e-4
void <- capture.output(
bayes.logistic <- brm(
vs ~ am + mpg, data = mtcars,
family = "bernoulli", seed = 1234,
silent = 2, refresh = 0,
backend = "cmdstanr",
chains = 4L, cores = 4L)
)
Compute AMEs manually:
d1 <- d2 <- mtcars
d2$mpg <- d2$mpg + h
p1 <- posterior_epred(bayes.logistic, newdata = d1)
p2 <- posterior_epred(bayes.logistic, newdata = d2)
m <- (p2 - p1) / h
quantile(rowMeans(m), c(.5, .025, .975))
50% 2.5% 97.5%
0.06981152 0.05372040 0.09159040
Compute AMEs with brmsmargins
:
bm <- brmsmargins(
bayes.logistic,
add = data.frame(mpg = c(0, 0 + h)),
contrasts = cbind("AME MPG" = c(-1 / h, 1 / h)),
CI = 0.95,
CIType = "ETI")
data.frame(bm$ContrastSummary)
M Mdn LL UL PercentROPE PercentMID CI CIType
1 0.07098514 0.06981152 0.0537204 0.0915904 NA NA 0.95 ETI
ROPE MID Label
1 <NA> <NA> AME MPG
Compute AMEs using marginaleffects
:
avg_slopes(bayes.logistic)
Term Contrast Estimate 2.5 % 97.5 %
am mean(1) - mean(0) -0.2672 -0.4219 -0.0682
mpg mean(dY/dX) 0.0698 0.0537 0.0916
Type: response
Columns: term, contrast, estimate, conf.low, conf.high, predicted_lo, predicted_hi, predicted, tmp_idx
The mpg
element of the Effect
column from marginaleffects
matches the the M
column of the output from brmsmargins
.
14.4.2 Marginal Effects for Mixed Effects Models
Estimate a mixed effects logistic regression model with brms
:
d <- withr::with_seed(
seed = 12345, code = {
nGroups <- 100
nObs <- 20
theta.location <- matrix(rnorm(nGroups * 2), nrow = nGroups, ncol = 2)
theta.location[, 1] <- theta.location[, 1] - mean(theta.location[, 1])
theta.location[, 2] <- theta.location[, 2] - mean(theta.location[, 2])
theta.location[, 1] <- theta.location[, 1] / sd(theta.location[, 1])
theta.location[, 2] <- theta.location[, 2] / sd(theta.location[, 2])
theta.location <- theta.location %*% chol(matrix(c(1.5, -.25, -.25, .5^2), 2))
theta.location[, 1] <- theta.location[, 1] - 2.5
theta.location[, 2] <- theta.location[, 2] + 1
d <- data.table(
x = rep(rep(0:1, each = nObs / 2), times = nGroups))
d[, ID := rep(seq_len(nGroups), each = nObs)]
for (i in seq_len(nGroups)) {
d[ID == i, y := rbinom(
n = nObs,
size = 1,
prob = plogis(theta.location[i, 1] + theta.location[i, 2] * x))
]
}
copy(d)
})
void <- capture.output(
mlogit <- brms::brm(
y ~ 1 + x + (1 + x | ID), family = "bernoulli",
data = d, seed = 1234,
backend = "cmdstanr",
silent = 2, refresh = 0,
chains = 4L, cores = 4L)
)
14.4.2.1 AME: Including Random Effects
bm <- brmsmargins(
mlogit,
add = data.frame(x = c(0, h)),
contrasts = cbind("AME x" = c(-1 / h, 1 / h)),
effects = "includeRE",
CI = .95,
CIType = "ETI")
data.frame(bm$ContrastSummary)
M Mdn LL UL PercentROPE PercentMID CI CIType
1 0.1118135 0.1120303 0.0814249 0.1425242 NA NA 0.95 ETI
ROPE MID Label
1 <NA> <NA> AME x
avg_slopes(mlogit)
Estimate 2.5 % 97.5 %
0.111 0.081 0.141
Term: x
Type: response
Comparison: mean(1) - mean(0)
Columns: term, contrast, estimate, conf.low, conf.high, predicted_lo, predicted_hi, predicted, tmp_idx
14.4.2.2 AME: Fixed Effects Only (Grand Mean)
bm <- brmsmargins(
mlogit,
add = data.frame(x = c(0, h)),
contrasts = cbind("AME x" = c(-1 / h, 1 / h)),
effects = "fixedonly",
CI = .95,
CIType = "ETI")
data.frame(bm$ContrastSummary)
M Mdn LL UL PercentROPE PercentMID CI CIType
1 0.1040304 0.1037629 0.06163523 0.1480365 NA NA 0.95 ETI
ROPE MID Label
1 <NA> <NA> AME x
avg_slopes(mlogit, re_formula = NA)
Estimate 2.5 % 97.5 %
0.101 0.0607 0.142
Term: x
Type: response
Comparison: mean(1) - mean(0)
Columns: term, contrast, estimate, conf.low, conf.high, predicted_lo, predicted_hi, predicted, tmp_idx
14.4.3 Marginal Effects for Location Scale Models
14.4.3.1 AMEs for Fixed Effects Location Scale Models
Estimate a fixed effects location scale model with brms
:
d <- withr::with_seed(
seed = 12345, code = {
nObs <- 1000L
d <- data.table(
grp = rep(0:1, each = nObs / 2L),
x = rnorm(nObs, mean = 0, sd = 0.25))
d[, y := rnorm(nObs,
mean = x + grp,
sd = exp(1 + x + grp))]
copy(d)
})
void <- capture.output(
ls.fe <- brm(bf(
y ~ 1 + x + grp,
sigma ~ 1 + x + grp),
family = "gaussian",
data = d, seed = 1234,
silent = 2, refresh = 0,
backend = "cmdstanr",
chains = 4L, cores = 4L)
)
14.4.3.2 Fixed effects only
bm <- brmsmargins(
ls.fe,
add = data.frame(x = c(0, h)),
contrasts = cbind("AME x" = c(-1 / h, 1 / h)),
CI = 0.95, CIType = "ETI",
effects = "fixedonly")
data.frame(bm$ContrastSummary)
M Mdn LL UL PercentROPE PercentMID CI CIType ROPE
1 1.622142 1.61919 0.765971 2.504324 NA NA 0.95 ETI <NA>
MID Label
1 <NA> AME x
avg_slopes(ls.fe, re_formula = NA)
Term Contrast Estimate 2.5 % 97.5 %
grp mean(1) - mean(0) 1.01 0.366 1.68
x mean(dY/dX) 1.62 0.766 2.50
Type: response
Columns: term, contrast, estimate, conf.low, conf.high, predicted_lo, predicted_hi, predicted, tmp_idx
14.4.3.3 Discrete change and distributional parameter (dpar
)
Compute the contrast between adjusted predictions on the sigma
parameter, when grp=0
and grp=1
:
bm <- brmsmargins(
ls.fe,
at = data.frame(grp = c(0, 1)),
contrasts = cbind("AME grp" = c(-1, 1)),
CI = 0.95, CIType = "ETI", dpar = "sigma",
effects = "fixedonly")
data.frame(bm$ContrastSummary)
M Mdn LL UL PercentROPE PercentMID CI CIType ROPE
1 4.907779 4.903996 4.374426 5.449402 NA NA 0.95 ETI <NA>
MID Label
1 <NA> AME grp
In marginaleffects
we use the comparisons()
function and the variables
argument:
avg_comparisons(
ls.fe,
variables = list(grp = 0:1),
dpar = "sigma")
Estimate 2.5 % 97.5 %
4.9 4.37 5.45
Term: grp
Type: response
Comparison: mean(1) - mean(0)
Columns: term, contrast, estimate, conf.low, conf.high, predicted_lo, predicted_hi, predicted, tmp_idx
14.4.3.4 Marginal effect (continuous) on sigma
bm <- brmsmargins(
ls.fe,
add = data.frame(x = c(0, h)),
contrasts = cbind("AME x" = c(-1 / h, 1 / h)),
CI = 0.95, CIType = "ETI", dpar = "sigma",
effects = "fixedonly")
data.frame(bm$ContrastSummary)
M Mdn LL UL PercentROPE PercentMID CI CIType ROPE
1 4.474551 4.464982 3.52317 5.484218 NA NA 0.95 ETI <NA>
MID Label
1 <NA> AME x
avg_slopes(ls.fe, dpar = "sigma", re_formula = NA)
Term Contrast Estimate 2.5 % 97.5 %
grp mean(1) - mean(0) 4.90 4.37 5.45
x mean(dY/dX) 4.46 3.52 5.48
Type: response
Columns: term, contrast, estimate, conf.low, conf.high, predicted_lo, predicted_hi, predicted, tmp_idx
14.5 fmeffects
Warning: The latest version of
fmeffects
appear to have introduced breaking changes without notification, and without a note in the NEWS/CHANGELOG. Thefmeffects
-specific code below is thus not executed.
The fmeffects
package is described as follows:
fmeffects: Model-Agnostic Interpretations with Forward Marginal Effects. Create local, regional, and global explanations for any machine learning model with forward marginal effects. You provide a model and data, and ‘fmeffects’ computes feature effects. The package is based on the theory in: C. A. Scholbeck, G. Casalicchio, C. Molnar, B. Bischl, and C. Heumann (2022)
As the name says, this package is focused on “forward marginal effects” in the context of machine learning models estimated using the mlr3
or tidymodels
frameworks. Since version 0.16.0, marginaleffects
also supports these machine learning frameworks, and it covers a superset of the fmeffects
functionality. Consider a random forest model trained on the bikes
data:
library("mlr3verse")
library("fmeffects")
data("bikes", package = "fmeffects")
task <- as_task_regr(x = bikes, id = "bikes", target = "count")
forest <- lrn("regr.ranger")$train(task)
Now, we use the avg_comparisons()
function to compute forward marginal effects:
avg_comparisons(forest, variables = list(temp = 1), newdata = bikes)
This is equivalent to the key quantity reported by the fmeffects
package:
fmeffects::fme(
model = forest,
data = bikes,
target = "count",
feature = "temp",
step.size = 1)$ame
Another interesting feature of fmeffects
is the ability treat categorical predictors in an unconventional way: pick a reference level, then compute the average difference between the predicted values for that level, and the predicted values for the observed levels (which may be the same as the reference level).
In the bikes
example, we can answer the question: how does the expected number of bike rentals increases, on average, if all days were misty? With marginaleffects
, we can use a function in the variables
argument to specify a custom contrast:
FUN <- function(x) data.frame(lo = x, hi = "misty")
avg_comparisons(
forest,
newdata = bikes,
variables = list(weather = FUN)
)
Two more functionalities deserve to be highlight. First, fmeffects
includes functions to explore heterogeneity in marginal effects using recursive partitioning trees. The heterogeneity vignette illustrates how to achieve something similar with marginaleffects
.
Second, fmeffects
also implements a non-linearity measure. At the moment, there is no analogue to this in marginaleffects
.
14.6 effects
The effects
package was created by John Fox and colleagues.
-
marginaleffects
supports 30+ more model types thaneffects
. -
effects
focuses on the computation of “adjusted predictions.” The plots it produces are roughly equivalent to the ones produced by theplot_predictions
andpredictions
functions inmarginaleffects
. -
effects
does not appear support marginal effects (slopes), marginal means, or contrasts -
effects
uses Base graphics whereasmarginaleffects
usesggplot2
-
effects
includes a lot of very powerful options to customize plots. In contrast,marginaleffects
produces objects which can be customized by chainingggplot2
functions. Users can also callplot_predictions(model, draw=FALSE)
to create a prediction grid, and then work the raw data directly to create the plot they need
effects
offers several options which are not currently available in marginaleffects
, including:
- Partial residuals plots
- Many types of ways to plot adjusted predictions: package vignette
14.7 modelbased
The modelbased
package is developed by the easystats
team.
This section is incomplete; contributions are welcome.
- Wrapper around
emmeans
to compute marginal means and marginal effects. - Powerful functions to create beautiful plots.
14.8 ggeffects
The ggeffects
package is developed by Daniel Lüdecke.
This section is incomplete; contributions are welcome.
- Wrapper around
emmeans
to compute marginal means.