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st: probit - interaction mfx when dummy has >2 categories

From   Tanuku AP <>
To   <>
Subject   st: probit - interaction mfx when dummy has >2 categories
Date   Sat, 9 Jul 2011 19:22:02 -0400


Is there a ready way to deal with interactions (in probit models) when dummy variable has more than 2 categories?

a) find out the correct marginal effects
b) test if interactions are jointly significant

I have quickly read through --inteff-- [Ai and Norton] but it seems that --inteff-- deals with binary qualitative variables only.


For my problem, we have binary variable 'disabled' and five income brackets:  income1 - income5.   We want to test for joint significance and find out the interaction marginal effects (if any).  We cannot collapse the income brackets into 2 categories.

> gen income1d = income1 * disabled   //interaction term
> logit choice disabled income1 income2 income3 income4  income1d income2d income3d income4d

test income1d income2d income3d income4d

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