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Re: Re: st: Error w/ "inteff" command


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   Re: Re: st: Error w/ "inteff" command
Date   Wed, 02 Jan 2013 12:22:48 -0500

I don't really understand how -inteff- works, nor do I have any great desire to find out. I am happy with the -margins- command, and the way you set it up is not correct for -margins-. When you compute the interaction term yourself, Stata has no way of knowing that the values of the interaction term are not independent of the values of the variables used to compute it. It should be

webuse lbw2
probit  low age lwt c.age#c.lwt
margins, dydx(_all)

For an explanation, see

http://www.nd.edu/~rwilliam/stats/Margins01.pdf

or else

http://www.statajournal.com/article.html?article=st0260

At 10:48 AM 1/2/2013, Erasmo Giambona wrote:
Dear Kit,

I was finally able to get the "inteff" command to work again. Inteff
and margins give me estimates on the interaction term that are
similar, but not the same. Is this simply do to different
approximation? Thanks. Please, see example below (using: webuse lbw2):


. g age_lwt=age*lwt

. probit  low age lwt age_lwt

Iteration 0:   log likelihood =   -117.336
Iteration 1:   log likelihood = -113.61015
Iteration 2:   log likelihood = -113.58509
Iteration 3:   log likelihood = -113.58509

Probit regression                                 Number of obs   =        189
LR chi2(3) = 7.50 Prob > chi2 = 0.0575
Log likelihood = -113.58509                       Pseudo R2       =     0.0320

------------------------------------------------------------------------------
low | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
age | -.0316919 .0896229 -0.35 0.724 -.2073495 .1439658 lwt | -.0087146 .0162868 -0.54 0.593 -.040636 .0232069 age_lwt | .0000561 .0006749 0.08 0.934 -.0012666 .0013788 _cons | 1.186736 2.124989 0.56 0.577 -2.978165 5.351637
------------------------------------------------------------------------------

. inteff low age lwt age_lwt
Probit with two continuous variables interacted
(0 observations deleted)

    Variable |       Obs        Mean    Std. Dev.       Min        Max
-------------+--------------------------------------------------------
  _probit_ie |       189    .0000473    7.14e-06   .0000265   .0000548
  _probit_se |       189    .0002247    .0000631   .0000304   .0002841
   _probit_z |       189    .2615582    .2009778   .1001468   1.322986

. margins, dydx(_all)

Average marginal effects                          Number of obs   =        189
Model VCE    : OIM

Expression   : Pr(low), predict()
dy/dx w.r.t. : age lwt age_lwt

------------------------------------------------------------------------------
             |            Delta-method
| dy/dx Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
age | -.0108404 .0306064 -0.35 0.723 -.0708278 .0491469 lwt | -.0029809 .0055547 -0.54 0.592 -.0138679 .0079061 age_lwt | .0000192 .0002308 0.08 0.934 -.0004332 .0004715
------------------------------------------------------------------------------








On Sat, Dec 29, 2012 at 11:16 PM, Christopher Baum <kit.baum@bc.edu> wrote:
> <>
> Erasmo said
>
> Does - margins, dydx(_all) - also handle the interaction of two dummy variables?
>
> Yes. ht (hypertension, yes/no) and smoke (yes/no) are such, and interacted in the model below. Notice that each has a positive main effect on low bw, but if they appear together the effect is, strangely enough, reduced (although the negative interaction coefficient is not distinguishable from zero).
>
> probit low c.age##i.race i.ht##i.smoke
> margins, dydx(_all)
>
>
>
> Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html > An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html > An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
>
>
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-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
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