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Re: st: Interaction terms in a logit model

From   Richard Williams <[email protected]>
To   [email protected]
Subject   Re: st: Interaction terms in a logit model
Date   Sat, 19 Mar 2005 12:51:19 -0500

At 10:00 PM 3/18/2005 -0800, Daniel Schneider wrote:
Dear List,

I have read the articles by Norton, Wang, Ai (2004) as well as their
more theoretical paper (Ai & Norton (2000)) and I am aware of other
literature describing the same problem. I think I understood the
theoretical problems and reasoning behind their approach, but
unfortunately I really have a hard time of really understanding what I
have to do when I use interaction terms in a logit regression.
Daniel, could you provide more precise citations for the articles you are mentioning? I'd be curious to read more about what they say.

Not having read these papers, I don't know specifically what your concern is, but Paul Allison's "Comparing Logit and Probit Coefficients Across Groups," SOCIOLOGICAL METHODS & RESEARCH, Vol. 28 No. 2, November 1999 186-208, may be worth a look. Here is the abstract:

"In logit and probit regression analysis, a common practice is to estimate separate models for two or more groups and then compare coefficients across groups. An equivalent method is to test for interactions between particular predictors and dummy (indicator) variables representing the groups. Both methods may lead to invalid conclusions if residual variation differs across groups. New tests are proposed that adjust for unequal residual variation."

Richard Williams, Notre Dame Dept of Sociology
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