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From | Maarten Buis <maartenlbuis@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Margins after xtprobit, re. |
Date | Tue, 30 Aug 2011 19:46:37 +0200 |
On Tue, Aug 30, 2011 at 6:47 PM, natasha agarwal wrote: > I was trying to estimate the following model: > > xi: xtprobit expdum a b a*b y14-y18 i.industry i.region, re > > where a = continuous and b = categorical. > > Now I wanted to compute the average partial effect of the > specification with the main interest lying at the estimated > coefficient on the interaction term. > > I use margins, predict(pu0) dydx(*) > > I do get the marginal effects for all the variables in the > specification but I wanted to know whether the average marginal effect > calculated by margins for the interaction term is correct and how > would one interpret the same? The marginal effect for the interaction term is wrong, see: Norton et al. (2004). In general if you want to use -margins- you should not use -xi- but use the factor variable notation instead. It is crucial that all interactions are also created with the factor variable notation. A consequence will be that no marginal effects for the interaction term will be computed, but that is much better than a wrong marginal effect... There is no easy way to get correct average marginal effects for interaction terms in such multi-level model, as doing that right you also need to average over unobserved group level error term. The best and easiest way is to use -xtlogit- and interpret the odds ratios. They have a bad reputation as being hard to interpret, but if you take the logic step by step it becomes suddenly easy. See for example: Buis (2010). A compendium of several statalist post on this issue can be found at <http://www.maartenbuis.nl/publications/interactions.html>. Hope this helps, Maarten Maarten L. Buis (2010) "Stata tip 87: Interpretation of interactions in non-linear models", The Stata Journal, 10(2), pp. 305-308. Edward Norton, Hua Wang, and Chunrong Ai (2004) "Computing interaction effects and standard errors in logit and probit models" The Stata Journal, 4(2): 154-167. -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * 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/