[Anonymous]

gretl, like stata, incorrectly computes the z-statistics of interaction dummies in logit and probit output. the computation leaves out essential cross-partial derivatives of y-hat, and thus incorrectly computes the z-statistic and possibly reverses the coefficient sign. Norton et al (2004) corrected this problem in stata by creating the command "inteff." It would be nice to see a similar command available to gretl users.

OK, we'll look into this.

• labels: --> 1261576
• assigned_to: nobody --> allin

This sounds like a bug description to me, so I'm moving this over to the bug tracker.

thanks,
sven

• labels: 1261576 -->

make summary more precise --sven

• summary: nonlinear interaction dummies --> nonlinear interaction dummies in logit/probit

setting priority -- BTW, my previous comment wasn't meant as imperative, but was just supposed to be a description of what I did to the title. --sven

• priority: 5 --> 6

I would suggest re-filing this as a feature request. It's a bug only if you
expect your econometrics program to be in psychic communion with
the user. Note that the "fix" in stata is a user-contributed special, not
a change to stata's basic behavior. (I agree that having something
similar in gretl would be desirable.)

Yep I guess you're right Allin, so moving this back.
-sven