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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: AW: computing interaction effects after xtprobit |

Date |
Fri, 27 Mar 2009 13:32:49 -0400 |

I.Roland and Martin Weiss <martin.weiss1@gmx.de>: I don't see an easy solution--for each obs, the full interaction effect is the cross-partial derivative of the expected value of y (http://www.stata-journal.com/sjpdf.html?articlenum=st0063, p.155) which in -xtprobit- depends on the (unobserved) random effect (http://www.stata.com/help.cgi?xtprobit+postestimation shows you can get the probability of a positive outcome, assuming that the random effect for that observation's panel is zero, but not an estimated random effect). You could integrate over simulated random effects, I suppose... averaging not only over obs in the sample but across many possible draws of REs for each obs (using estimated sigma_u and rho to simulate REs; see http://www.stata-journal.com/sj6-2.html for some helpful technique). SEs on these "full interaction effects" would be a pain then--perhaps you can treat the REs as missing data, and do multiple imputation from the distribution given by estimated sigma_u and rho, then use Rubin's formulas to calculate SEs. No doubt there is a better strategy, but it is not immediately obvious to me... On Fri, Mar 27, 2009 at 1:07 PM, Martin Weiss <martin.weiss1@gmx.de> wrote: > > http://www.stata-journal.com/sjpdf.html?articlenum=st0063, page 156 says > that you can replicate anything -ssc d inteff- does via -predictnl-. > > HTH > Martin > > > -----Ursprüngliche Nachricht----- > Von: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von > I.Roland@lse.ac.uk > Gesendet: Freitag, 27. März 2009 18:02 > An: statalist@hsphsun2.harvard.edu > Betreff: st: computing interaction effects after xtprobit > > Hello Statalisters, > > I would like to estimate a random-effects probit that includes an > interaction term between two continuous independent variables. After the > command 'probit', 'inteff' can be used to compute the correct interaction > effects. However, it does not seem to work after 'xtprobit'. Does anyone > know how to compute interaction effects after 'xtprobit'? > > Thanks in advance! * * 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: computing interaction effects after xtprobit***From:*<I.Roland@lse.ac.uk>

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