Interpreting interaction terms in linear and non-linear models: A cautionary tale
Interaction terms are often misinterpreted in the empirical economics literature by assuming that the coefficient of interest represents unconditional marginal changes. I present the correct way to estimate conditional marginal changes in a series of non-linear models including (ordered) logit/probit regressions, censored and truncated regressions. The linear regression model is used as the benchmark case.
|Date of creation:||Jul 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ai, Chunrong & Norton, Edward C., 2003. "Interaction terms in logit and probit models," Economics Letters, Elsevier, vol. 80(1), pages 123-129, July.
- William H. Greene, 2009.
"Testing Hypotheses About Interaction Terms in Nonlinear Models,"
09-08, New York University, Leonard N. Stern School of Business, Department of Economics.
- Greene, William, 2010. "Testing hypotheses about interaction terms in nonlinear models," Economics Letters, Elsevier, vol. 107(2), pages 291-296, May.
- Andreas C. Drichoutis & Rodolfo M. Nayga, 2011. "Marginal Changes in Random Parameters Ordered Response Models with Interaction Terms," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 565-576, October.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:33251. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.