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st: test interaction effects after heckprob


From   Marco Sangiorgi <sangiorgi.marco@hotmail.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: test interaction effects after heckprob
Date   Wed, 22 Jun 2011 10:38:43 +0200

Hi All,

I'm interested in testing significance of interaction terms in a heckprob model of the type:
y_p  i.x1  c.x2  i.x1#c.x2 ..., (select y_s   i.x1  c.x2  i.x1#c.x2 ...)  robust
with x1=dummy variable.
All the contribution I've red explain how to do it in a simple probit model (e.g. -inteff-) but not in a two stage model like this. A simple t-test on the coefficent of the intaraction is not informative (Ai and Norton, 2003).
Since I'm interested in analysing the joint probability p(11) I used -margins- to predict such probability for (x1= 0) and for (x1=1) and so I tested for their difference, but I don't think it's a good way to obtain reliable statistics.
Any suggestion?
Thanks a lot.
Marco Sangiorgi 		 	   		  
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