Balli, Hatice Ozer and Sorensen, Bent E. (2012): Interaction effects in econometrics. Forthcoming in: Empirical Economics
Download (225kB) | Preview
We provide practical advice for applied economists regarding robust specification and interpretation of linear regression models with interaction terms. We replicate a number of prominent published results using interaction effects and examine if they are robust to reasonable specification permutations.
|Item Type:||MPRA Paper|
|Original Title:||Interaction effects in econometrics|
|Keywords:||Non-Linear Regression, Interaction Terms|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
|Depositing User:||Hatice Ozer Balli|
|Date Deposited:||07 May 2012 00:40|
|Last Modified:||22 Jan 2016 21:59|
Allison, Paul D. (1977),Testing For Interaction in Multiple Regression," American Journal of Sociology 83, 144-153.
Althauser, Robert (1971), Multicollinearity and Non-Additive Regression Models," 453-472 in H. M. Blalock, Jr.(ed). Causal Models in the Social Sciences, Chicago: Aldine-Atherton.
Bairoch, Paul (1982), International Industrialization levels from 1750 to 1980," Journal of European Economic History 11, 269-334.
Braumoeller, Bear F. (2004), Hypothesis Testing and Multiplicative Interaction Terms,"International Organization 58, 807-820.
Burnside, Craig and David Dollar (2000), Aid, Policies, and Growth,"American Economic Review 90, 847-868.
Caprio, Gerard, Luc Laeven, and Ross Levine (2007), Governance and Bank Valuation,"Journal of Financial Intermediation 16, 584-617.
Castro, Rui, Gian Luca Clementi, and Glenn MacDonald (2004), Investor Protection,Optimal Incentives, and Economic Growth," Quarterly Journal of Economics 119, 1131-1175.
Frisch, Ragnar and Frederick V. Waugh (1933), Partial Time Regressions as Compared with Individual Trends," Econometrica 1, 387-401.
Heston, Alan, Robert Summers, and Bettina Aten (2002), PennWorld Table Version 6.1(Philadelphia, PA: Center for International Comparisons at the University of Penn- sylvania).
Knack, Stephen and Philip Keefer (1995), Institutions and Economic Performance: Cross-Country Tests Using Alternative Institutional Measures," Economics and Policies 7, 207-227.
La Porta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer, and Robert Vishny (1998),Law and Finance," Journal of Political Economy 106, 1113-1155.
La Porta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer, and Robert Vishny (2002), Investor Protection and Corporate Valuation," Journal of Finance 57, 1147-1170.
Mitchell, Brian R. (1995), International Historical Statistics, Stockton Press, London.
Rajan, Raghuram G. and Luigi Zingales (1998), Financial Dependence and Growth,"American Economic Review 88, 559-589.
Rajan, Raghuram G. and Luigi Zingales (2003), The Great Reversals: The Politics of Financial Development in the Twentieth Century," Journal of Financial Economics 69, 5-50.
Smith, Kent W. and M. S. Sasaki (1979), Decreasing Multicollinearity: A Method for Models With Multiplicative Functions," Sociological Methods and Research 8, 35-56.
Spilimbergo, Antonio (2009), Democracy and Foreign Education," American Economic Review 99, 528-543.