----- Original Message -----
From: "Mehmet Beceren" <[email protected]>
To: <[email protected]>
Sent: Friday, October 03, 2003 9:19 AM
Subject: st: marginal effects of interacting variables
> Hi,
> I have a regression with interacting variables in the following form: Y = a
> + bX1 + cX2 + zX1X2
> And I would like to estimate the total marginal effect (total derivative)
> of X1 and the standard error of the total derivative.
> The derivative at the mean of the variables will be b + z* meanX1*meanX2
>
> Does anyone know a quick command to get the SE of the total derivative
> after such a regression? Manual calculations become harder as the number of
> interacting variables increase.
>
> Mehmet
>
Would not the marginal effect of X1 be: b + z*X2 (where X2 could be the sample
mean)
The variance would be: var[b] + X2^2*var[z] + 2*X2*cov[b,z] (see Greene, 4th ed.
page 326.)
below is a very simple program to calculate the marginal effects and the
variance of interaction terms.
Hope this helps,
Scott
program marginalx, rclass
version 8.1
syntax , x(varname) y(varname) xy(varname)
sum `y' if e(sample), meanonly
local marginal = _b[`x'] + _b[`xy']*r(mean)
matrix A = e(V)
matrix B1 = A["`x'" , "`x'"]
local var_b1 = B1[1,1]
matrix B2 = A["`xy'" , "`xy'"]
local var_b2 = B2[1,1]
matrix B3 = A["`x'" , "`xy'"]
local covar_b1b2 = B3[1,1]
local variance = `var_b1' + (r(mean)^2)*`var_b2' + 2*r(mean)*`covar_b1b2'
dis ""
disp in gr "Marginal effect of `x' at the mean of `y' = " `marginal'
disp in gr "Variance of marginal effect of `x' at the mean of `y' = "
`variance'
return scalar margx = `marginal'
return scalar var_margx = `variance'
end
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