Drichoutis, Andreas (2011): Interpreting interaction terms in linear and non-linear models: A cautionary tale.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Interpreting interaction terms in linear and non-linear models: A cautionary tale|
|Keywords:||interaction terms; ordered probit; ordered logit; truncated regression; censored regression; nonlinear models|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C24 - Truncated and Censored Models; Switching Regression Models
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C25 - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
|Depositing User:||Andreas Drichoutis|
|Date Deposited:||09. Sep 2011 10:40|
|Last Modified:||11. Feb 2013 21:33|
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