st: RE: AW: computing interaction effects after xtprobit

[<I.Roland@lse.ac.uk>]

Hi Martin/Austin
 
Thanks for this. I am trying to replicate what -inteff- does with -predictnl- for my model.
 
My variables are as follows:
 
y binary dependent variable
cont1 continuous independent variable
cont2 continuous independent variable
inter: cont1*cont2
cont3 continuous independent variable
 
The RE probit is:
 
xtprobit y cont1 cont2 inter cont3, i(group)
 
Based on Norton and Ai (2004, p.158), I then use the following code to compute the interaction effect:
 
local xb = _b[_cons] + _b[cont1]*cont1 + _b[cont2]*cont2 + _b[inter]*inter + _b[cont3]*cont3

local coef = _b[inter] - (_b[cont1]+_b[inter]*cont2)*(_b[cont2] + _b[inter]*cont1)*(_b[_cons] + _b[cont1]*cont1 +_b[cont2]*cont2 + _b[inter]*inter + _b[cont3]*cont3)

predictnl interac = (`coef')*(normden(`xb')), se(se_interac)

sum interac se_interac

That runs fine but delivers a constant interaction effect. Forgive my ignorance, but could this be because it ignores the unobserved random effects?

Alternatively, I would like to estimate a FE probit - same model as above but with indicator variables (identified by group in the RE model). This approach may be better since it is not possible to capture the unobserved random effects. I have a lot of indicator variables and would like to find an easy way to capture them in the code that I need to run to compute the interaction effect. It seems it is not possible to use the usual truncation * in the code (see code I tried below where ind* captures all the indicators).

local xb = _b[_cons] + _b[cps]*cps + _b[rz]*rz + _b[cpsrz]*cpsrz + _b[share]*share + _b[ind*]*(ind*)

Thanks a lot for your advice!


________________________________

From: owner-statalist@hsphsun2.harvard.edu on behalf of Martin Weiss
Sent: Fri 27/03/2009 17:07
To: statalist@hsphsun2.harvard.edu
Subject: st: AW: computing interaction effects after xtprobit




<>

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!

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