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Re: st: nlcom code for marginal effect on interaction of continuos variables after clogit


From   "Erasmo Giambona" <e.giambona@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: nlcom code for marginal effect on interaction of continuos variables after clogit
Date   Fri, 25 Jul 2008 11:12:21 -0400

Very much appreciated Arne.
Regards,
Erasmo

On Fri, Jul 25, 2008 at 9:50 AM, Arne Risa Hole <arnehole@gmail.com> wrote:
> Erasmo,
>
> Take a look at the Stata Journal paper by Norton et. al on interaction
> effects in logit and probit models - see the recent thread on probit
> with interaction dummies for the exact reference. I suppose you could
> exhange the probabilities in their formulas with the average sample
> predicted probability (using the pc1 option) as suggested by Steve
> Stillman in the thread below. I'm not sure exactly how you would
> interpret this though... the problem remains that marginal effects in
> the usual sense of the word cannot be calculated following a fixed
> effects logit model.
>
> Arne
>
> 2008/7/25 Erasmo Giambona <e.giambona@gmail.com>:
>> Thanks very much Arne. Hope you could give me a hint on what the b-hat
>> for the interaction term to calculate the pseudo marginal effect
>> should be. Is this simply the coefficient on the interaction term?
>> Thanks and regards,
>> Erasmo
>>
>> On Fri, Jul 25, 2008 at 6:21 AM, Arne Risa Hole <arnehole@gmail.com> wrote:
>>> Erasmo,
>>>
>>> You cannot calculate marginal effects following a fixed effects logit,
>>> with or without interactions, since the fixed effects are not
>>> estimated. See for instance the following thread:
>>>
>>> http://www.stata.com/statalist/archive/2005-10/msg00464.html
>>>
>>> Note that my -nlcom- code did not relate to the fixed effects logit
>>> but to McFadden's choice model which is equivalent computationally but
>>> very different conceptually.
>>>
>>> Arne
>>>
>>> On 24/07/2008, Erasmo Giambona <e.giambona@gmail.com> wrote:
>>>> Dear Statalisters,
>>>>
>>>> I have a panel dataset with a (0,1) dependent variable (d), where d=1
>>>> means that the firm has merged with another firm.  The model looks as
>>>> follows:
>>>>
>>>> dit = axit + byit + c(xit*yit) +  fzit + gwit + ei, where xit, yit,
>>>> zit, wit are continuous independent variables for firm i at time t,
>>>> and (xit*yit) is the interaction of these two continous variables. I
>>>> am estimating the model with clogit. I am interested in gaining some
>>>> insights on the marginal effects of the interaction terms. In
>>>> particular, I would like to see what is the percentage point increase
>>>> in the probability of a merger as x increase by 1 standard deviation
>>>> (or 1 percentage point), y is set at its 75th percentile and the
>>>> remaining two regressors (e.g., z and w) are set at their sample mean.
>>>>
>>>> I understand that this is not an easy task. I found a thread (e.g.,
>>>> "clogit marginal effects?") in Statalist where Arne Risa Hole provides
>>>> an nlcom that could be used after clogit, but it does not fit what I
>>>> need.
>>>>
>>>> Can anyone provide any help on the nlcom code needed to obtain the
>>>> result that I am looking for?
>>>>
>>>> Thanks,
>>>> Erasmo
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