Interaction terms in logit and probit models

Interaction terms in logit and probit models

The magnitude of the interaction effect in nonlinear models does not equal the marginal effect of the interaction term, can be of opposite sign, and its statistical significance is not calculated by standard software. We present the correct way to estimate the magnitude and standard errors of the in...

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Veröffentlicht in:Economics letters 2003-07, Vol.80 (1), p.123-129
Hauptverfasser: Ai, Chunrong, Norton, Edward C.
Format: Artikel
Sprache:eng
Schlagworte:
Applied economics
Error
Estimation
Interaction effect
Interaction term
Logit
Non-linear models
Nonlinear models
Probit
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Beschreibung
Zusammenfassung:The magnitude of the interaction effect in nonlinear models does not equal the marginal effect of the interaction term, can be of opposite sign, and its statistical significance is not calculated by standard software. We present the correct way to estimate the magnitude and standard errors of the interaction effect in nonlinear models.
ISSN:0165-1765
1873-7374
DOI:10.1016/S0165-1765(03)00032-6