Thanks, Scott. That helps a lot! Sheng
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Scott Merryman
Sent: Friday, April 15, 2005 2:30 PM
To: [email protected]
Subject: st: RE: RE: RE: interaction term in negative binomial regression
Sheng,
No.
Though does it matter? Though it may change the standard error (and
coefficient) of your dummy variable, the marginal effect and the standard
error depend on both the dummy variable and interaction term.
For example:
. sysuse auto, clear
(1978 Automobile Data)
. gen foreXmpg = foreign*mpg
. center mpg
. gen forXc_mpg = foreign*c_mpg
. reg price mpg foreign foreXmpg, nohead
---------------------------------------------------------------------------
price | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+-------------------------------------------------------------
mpg | -329.2551 74.98545 -4.39 0.000 -478.8088
-179.7013
foreign | -13.58741 2634.664 -0.01 0.996 -5268.258
5241.084
foreXmpg | 78.88826 112.4812 0.70 0.485 -145.4485
303.225
_cons | 12600.54 1527.888 8.25 0.000 9553.261
15647.81
----------------------------------------------------------------------------
. reg price c_mpg foreign forXc_mpg, nohead
---------------------------------------------------------------------------
price | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+-------------------------------------------------------------
c_mpg | -329.2551 74.98545 -4.39 0.000 -478.8088
-179.7013
foreign | 1666.519 717.217 2.32 0.023 236.075
3096.963
forXc_mpg | 78.88826 112.4812 0.70 0.485 -145.4485
303.225
_cons | 5588.295 369.0945 15.14 0.000 4852.159
6324.431
----------------------------------------------------------------------------
It would be incorrect to say that the effect of car type (the dummy variable
_foreign_) is statistically insignificant in the first regression (with
uncentered interaction term) and statistically significant in the second
regression (with the centered interaction term). In fact, the marginal
effect and standard error of _foreign_ is the same in both models.
Hope this helps,
Scott
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Sheng Wang
> Sent: Friday, April 15, 2005 8:40 AM
> To: [email protected]
> Subject: st: RE: RE: interaction term in negative binomial regression
>
>
> Dear Scott:
>
> This is very helpful. Thank you! Just want to clarify. About the output
> you
> had, was that based mean-centered mpg or not? Because if I don't center my
> continuous variable, I would have some s.e. of above 4 while if I center
> it
> first before running the regression, all s.e. were below 1. Does that make
> a
> difference?
>
> Thanks again!
> Sheng
>
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