#53 nonlinear interaction dummies in logit/probit

open
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5
2014-03-23
2009-10-25
Anonymous
No

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.

Discussion

1 2 > >> (Page 1 of 2)
  • Allin Cottrell
    Allin Cottrell
    2009-11-06

    OK, we'll look into this.

     
  • Allin Cottrell
    Allin Cottrell
    2009-11-06

    • labels: --> 1261576
    • assigned_to: nobody --> allin
     
  • Sven S.
    Sven S.
    2009-11-21

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

    thanks,
    sven

     
  • Sven S.
    Sven S.
    2009-11-21

    • labels: 1261576 -->
     
  • Sven S.
    Sven S.
    2009-12-18

    make summary more precise --sven

     
  • Sven S.
    Sven S.
    2009-12-18

    • summary: nonlinear interaction dummies --> nonlinear interaction dummies in logit/probit
     
  • Sven S.
    Sven S.
    2009-12-18

    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

     
  • Sven S.
    Sven S.
    2009-12-18

    • priority: 5 --> 6
     
  • Allin Cottrell
    Allin Cottrell
    2009-12-18

    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.)

     
  • Sven S.
    Sven S.
    2010-02-16

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

     
1 2 > >> (Page 1 of 2)