Re: st: probit with interaction dummies (significance and marginal effects)

[Andrea Bennett <mac.stata@gmail.com>]

Thanks for the link! Still, I wonder if there's really no Stata  
command I could use to "simply" test if the interaction is significant  
and what influence (direction) it has on the dependent variable. I'd  
be just rather surprised if this does not exist because it seems to me  
this is a very common issue in any regression design (interaction  
effects).

Any other good advice is greatly appreciated!

Kind regards,

Andrea

On Jul 17, 2008, at 4:45 PM, Maarten buis wrote:


> --- Andrea Bennett <mac.stata@gmail.com> wrote:
> > I am a little confused after reading multiple posts from the
> > Statalist how I can make sure I do interpret interaction dummies
> > correctly when using a probit estimation.
> I have no easy solution but I hope I may clarify the issue a bet. To
> see the problems it is useful to look at probit in a partucular way:
>
> There is a latent variable (y*) which is a linear function of your
> explanatory variables and a normally distributed error term. You
> observe y, which is one when y*>0 and is 0 when y*<0.
>
> There are two distinct issues when interpreting interaction effects in
> a probit:
>
> 1) a significant positive (negative) interaction in terms of the  
> latent
> variable does not mean a significant positive (negative) interaction
> effect in terms of the probability that y = 1. This issue is discussed
> in (Norton et al. 2004)
>
> 2) The scale of the latent variable is identified by setting the
> residual variance at 1. If the residual variance differs between the
> groups than that means that the scale of the latent variable differs
> between the groups and when comparing differences in effects across  
> the
> groups you are basically comparing apples and oranges. Rich Williams
> has collected a large amount of material on this issue at:
> http://www.nd.edu/~rwilliam/oglm/index.html
>
> Hope this helps,
> Maarten
>
> E. C. Norton, H. Wang, and C. Ai. 2004. Computing interaction effects
> and standard errors in logit and probit models Stata Journal Volume 4
> Number 2: pp. 154-167.
> http://www.stata-journal.com/article.html?article=st0063
>
>
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
> Vrije Universiteit Amsterdam
> Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
>
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room Z434
>
> +31 20 5986715
>
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
>
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