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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 >>>> * >>>> * 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/ >>>> >>> * >>> * 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/ >>> >> * >> * 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/ >> > * > * 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/ > * * 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/

**References**:**st: nlcom code for marginal effect on interaction of continuos variables after clogit***From:*"Erasmo Giambona" <e.giambona@gmail.com>

**Re: st: nlcom code for marginal effect on interaction of continuos variables after clogit***From:*"Arne Risa Hole" <arnehole@gmail.com>

**Re: st: nlcom code for marginal effect on interaction of continuos variables after clogit***From:*"Erasmo Giambona" <e.giambona@gmail.com>

**Re: st: nlcom code for marginal effect on interaction of continuos variables after clogit***From:*"Arne Risa Hole" <arnehole@gmail.com>

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