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From |
"Javier Escobal" <jescobal@grade.org.pe> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: Subject: st: Does your academic discipline use logit regressions with interaction terms? |

Date |
Wed, 21 Aug 2002 11:14:22 -0500 |

following this thread, this is a question for Edward Norton: Have you been able to develop an STATA program to construct the "true" interaction effects and their standard errors as discussed in your paper? regards Javier > -----Mensaje original----- > De: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] En nombre de > Babigumira Ronnie > Enviado el: Miércoles, 21 de Agosto de 2002 04:02 a.m. > Para: statalist@hsphsun2.harvard.edu > Asunto: Re: Subject: st: Does your academic discipline use > logit regressions with interaction terms? > > > Save it to your hard disc first and then try to open it. > Should work fine > > Roni > --- Owen Abbe <OABBE@capc.umd.edu> wrote: > > When I try to open the file > (http://www.unc.edu/the/the002.pdf) using > > Adobe Acrobat 5.0, I get an error and the document does not load. > > > > Owen > > > > > > > > Owen Abbe, Research Fellow > > Center for American Politics and Citizenship > > University of Maryland > > 1108 Tawes Building > > College Park, Maryland 20742 > > 301-405-9722 (Tel) > > 301-314-2532 (Fax) > > www.capc.umd.edu > > > > >>> Edward_Norton@unc.edu 08/20/02 03:53PM >>> > > Although applied economists often estimate interaction > terms to infer > > how the effect of one independent variable on the dependent > variable > > depends on the magnitude of another independent > > variable, most researchers misinterpret the coefficient in nonlinear > > models. The magnitude of the > > interaction effect does not equal the marginal effect of the > > interaction term, can be of opposite > > sign, and its statistical significance is not calculated by standard > > software. I have written a > > paper with Chunrong Ai called "Interaction terms in > nonlinear models" > > in which we present the correct > > way to estimate the magnitude and standard errors of the interaction > > effect in nonlinear models, > > including the widely used log transformation model with > unknown error > > distribution. > > > > You can find a copy of this working paper at > > www.unc.edu/the/THE_WPS.htm > > > > Edward Norton > > Associate Professor > > UNC at Chapel Hill > > > > > > > ------------------------------ > > > > > > Date: Fri, 16 Aug 2002 15:11:57 -0400 > > > From: epowers@moore.sc.edu > > > Subject: st: Does your academic discipline use logit > regressions with > > interaction terms? > > > > > > Hi, does your academic discipline typically use logit (or probit) > > > regressions with interaction terms? If so, then you may > be able to > > help > > > me. > > > > > > I am an academic in finance. There is a branch of research on > > > management turnover in the finance literature that analyzes the > > > sensitivity of turnover to performance, i.e. how badly does a firm > > need > > > to perform before the CEO is asked to leave (a > particularly timely > > > question these days!) Often, the emphasis is on comparing two > > > "types" of firms to see when turnover is most sensitive to > > performance. > > > For example, firms might be sorted into two groups based on > > > characteristics of the board of directors, the people responsible > > for > > > supervising the CEO. > > > > > > In general, participants in this literature estimate logit > > regressions > > > where turnover=f(performance, type, type*performance, > controls). In > > > general, researchers focus on the estimated coefficient for the > > > interaction term of type*performance. Unfortunately, the > estimated > > > coefficient for the interaction term (and its statistical > > significance) > > > depends not just on the true underlying sensitivity of > turnover to > > > performance, but on the difference in the average likelihood of > > > turnover between the two types of firms. In general > terms, this is > > > because the estimate coefficient is the log of the odds > ratio which > > > depends on the underlying level of the odds. > > > > > > In any event, I have written a short note which uses > simulations to > > > illustrate this problem. While it is a subtle point, it > is really a > > very basic > > > point. I would be incredibly surprised if it has not > been addressed > > in > > > the literature of a different field. That is where you > can come in: > > > > > > 1) Is that particular form of logit or probit regression > typical in > > your > > > field? If so, can you give me some references? > > > > > > 2) Have you seen this statistical issue addressed in a paper, > > textbook, > > > etc? If so, can you give me some references. > > > > > > Thanks for any help that you can offer. > > > > > > Sincerely > > > Eric A. Powers > > > Assistant Professor of Finance > > > The Moore School of Business > > > University of South Carolina > > > Columbia SC, 29208 > > > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > __________________________________________________ > Do You Yahoo!? > HotJobs - Search Thousands of New Jobs > http://www.hotjobs.com > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Does your academic discipline use logit regressions with interaction terms?***From:*"Ada Ma" <Pelikan_4001@hotmail.com>

**References**:**Re: Subject: st: Does your academic discipline use logit regressions with interaction terms?***From:*Babigumira Ronnie <rutaremwa_rb@yahoo.com>

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