[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
May Boggess <mboggess@stata.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Question : inteff tobit |

Date |
14 Jan 2005 16:17:29 -0600 |

On Friday, Etienne asked how to compute an interaction effect after -tobit-. In principle, this is not difficult to do. It can get tricky though if you have large numbers of variables as the expressions involved get rather long. But I will do a small example to show Etienne the idea of what needs to be done. We begin by making sure we know what the predict formulas are after -tobit-. I will use only pr() for the purposes of this example: clear sysuse auto tobit mpg len, ll(20) predict xb,xb predict p, pr(20,.) /* Probability Uncensored */ gen myp = norm(-((20-xb)/_b[_se])) sum p myp The marginal effects are the derivatives of p with respect to the independent variables. If the model contains interactions, the there will be second derivatives which are non-zero, and these are called interaction effects. Before we get to the second derivatives, let's makes sure we know how to get the first derivatives. I differentiate in the normal way (ie. using calculus, applying the chain rule) and then let -nlcom- work out the standard error for me. Since this is what -mfx- does, I can compare my answer to that from -mfx-: clear sysuse auto tobit mpg len, ll(20) sum len local meanlen=r(mean) nlcom normden(-((20-(_b[len]*`meanlen'+_b[_cons]))/_b[_se])) *(_b[len]/_b[_se]) mfx, predict(pr(20,.)) I evaluated the derivative at the mean of length, sicne that is the default for -mfx-. The variable length was a continuous variable. If I had used a dichotomous 0/1 variable, I would not have needed calculus: I would have subtracted the probability at for=0 from that at for=1. For an example of calculating the second derivative, I will interact a continuous variable with a dichotomous variable: clear sysuse auto gen X=for*len tobit mpg len for X, ll(20) sum len local meanlen: di %5.2f r(mean) local xb1 "_b[len]*`meanlen'+_b[for]*1+_b[X]*`meanlen'*1+_b[_cons]" local xb0 "_b[len]*`meanlen'+_b[for]*0+_b[X]*`meanlen'*0+_b[_cons]" nlcom normden(-((20-(`xb1'))/_b[_se])) *(_b[len]/_b[_se])-normden(-((20-(`xb0'))/_b[_se])) *(_b[len]/_b[_se]) In this example I first took the derivative of norm(-((20-xb)/_b[_se])) with respect to the continuous variable len to obtain normden(-((20-(xb))/_b[_se]))*(_b[len]/_b[_se]). I then evaluated it at for=0 and substracted that from it evaluated at for=1, that is, I took the discrete difference. The expression I pass to -nlcom- depends on whether or not I have a continuous-dichotomous, dichotomous-dichotomous or continuous-continuous interaction. -- May mmb@stata.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/

**References**:**st: Question : inteff tobit***From:*"Etienne Dumont" <edumont@ecn.ulaval.ca>

- Prev by Date:
**st: Binomial Sign Test for Two Dependent Samples** - Next by Date:
**Re: st: Re: newey2 vs ivreg2** - Previous by thread:
**st: Question : inteff tobit** - Next by thread:
**st: re: keep longest consecutive streak (recently broken by Red Sox)** - Index(es):

© Copyright 1996–2015 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |