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RE: st: question about the interaction term


From   ZHVictor <victerzj2@hotmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: question about the interaction term
Date   Thu, 25 Apr 2013 15:21:53 +0000

Dear David,
Thank you!This is the output in stata
             |               Robust
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
performance  |
        frbc |  -.8474035   .4923128    -1.72   0.085    -1.812319    .1175119
   frbc_homo |   .3386407   .6860396     0.49   0.622    -1.005972    1.683254
        homo |   .0977946   .4812832     0.20   0.839    -.8455031    1.041092
       board |   .0076623   .0470874     0.16   0.871    -.0846274     .099952
       indep |  -.5825246   .6177608    -0.94   0.346    -1.793314    .6282644
       audit |   -.002093   .0926196    -0.02   0.982    -.1836241     .179438
         roa |   1.704518   1.494709     1.14   0.254    -1.225058    4.634093
     finance |   .6123755    .430509     1.42   0.155    -.2314066    1.456158
    leverage |   .0535289   .6785705     0.08   0.937    -1.276445    1.383503
        size |   .0170652   .1050801     0.16   0.871     -.188888    .2230183
         mtb |   .0545689    .027851     1.96   0.050    -.0000181     .109156
inst_holding |   .6830099   .6363314     1.07   0.283    -.5641768    1.930197
       _cons |  -1.426625   1.042372    -1.37   0.171    -3.469637    .6163864
test frbc+frbc_homo=0
 chi2(  1) =    1.87
         Prob > chi2 =    0.1718

frbc is a continuous variable and homo is a dummy variable. Basically, I want to see whether frbc has different effect in the homo=0 group vs homo=1 group.
The interaction term frbc_homo is insignificant but the frbc is significant in the testing "frbc+frbc_homo=0"
Thank you!



Vic
----------------------------------------
> Date: Thu, 25 Apr 2013 06:25:23 -0400
> Subject: Re: st: question about the interaction term
> From: dchoaglin@gmail.com
> To: statalist@hsphsun2.harvard.edu
>
> Dear Vic,
>
> You have a single model, not separate "cases" for B=0 and B=1.
>
> You have not included any output, so I am not able to work with the
> numerical estimates of the coefficients.
>
> According to the test that you mentioned, when B=1, the slope against
> A is "like 0." I suspect that, when the coefficient of A*B is added
> to the coefficient of A, that sum is close enough to 0 that it is not
> significant.
>
> It may help to remember that, as in any regression model, the
> definition of each coefficient includes the set of other predictors in
> the model.
>
> You may want to remove the interaction from your model and see what
> happens to the coefficient of A (which does not have the same
> definition as the coefficient of A in the model that includes the
> interaction).
>
> David Hoaglin
>
> On Thu, Apr 25, 2013 at 12:12 AM, ZHVictor <victerzj2@hotmail.com> wrote:
> > Dear David,
> > Thank you for your response. I understand what you are saying.
> > In B=0 case, I have a significant slope for A
> > In B=1 case, the slope of A becomes coefficient of A+coefficient of A*B, however it becomes insignificant.
> > A*B is an interaction term. I have an insignificant coefficient of A*B. That means the coefficient of A*B is like 0
> > Thus, in B=1 case, the slope of A is like coefficient of A+0. Therefore, I am expecting in B=1 case, the slope of A should be also significant as in B=0 case.
> > That is where I am confused.
> > Thank you!
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