I.Roland and Martin Weiss <[email protected]>:
I don't see an easy solution--for each obs, the full interaction
effect is the cross-partial derivative of the expected value of y
(http://www.stata-journal.com/sjpdf.html?articlenum=st0063, p.155)
which in -xtprobit- depends on the (unobserved) random effect
(http://www.stata.com/help.cgi?xtprobit+postestimation
shows you can get the probability of a positive outcome, assuming that the
random effect for that observation's panel is zero, but not an
estimated random effect).
You could integrate over simulated random effects, I suppose...
averaging not only over obs in the sample but across many possible draws
of REs for each obs (using estimated sigma_u and rho to simulate REs;
see http://www.stata-journal.com/sj6-2.html for some helpful technique).
SEs on these "full interaction effects" would be a pain then--perhaps
you can treat the REs as missing data, and do multiple imputation from
the distribution given by estimated sigma_u and rho, then use Rubin's
formulas to calculate SEs.
No doubt there is a better strategy, but it is not immediately obvious to me...
On Fri, Mar 27, 2009 at 1:07 PM, Martin Weiss <[email protected]> wrote:
>
> http://www.stata-journal.com/sjpdf.html?articlenum=st0063, page 156 says
> that you can replicate anything -ssc d inteff- does via -predictnl-.
>
> HTH
> Martin
>
>
> -----Ursprüngliche Nachricht-----
> Von: [email protected]
> [mailto:[email protected]] Im Auftrag von
> [email protected]
> Gesendet: Freitag, 27. März 2009 18:02
> An: [email protected]
> Betreff: st: computing interaction effects after xtprobit
>
> Hello Statalisters,
>
> I would like to estimate a random-effects probit that includes an
> interaction term between two continuous independent variables. After the
> command 'probit', 'inteff' can be used to compute the correct interaction
> effects. However, it does not seem to work after 'xtprobit'. Does anyone
> know how to compute interaction effects after 'xtprobit'?
>
> Thanks in advance!
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
