#53 nonlinear interaction dummies in logit/probit

open
None
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

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

    • priority: 6 --> 5
     
  • Sven S.
    Sven S.
    2010-02-16

    p.s.: and resetting priority to normal
    -sven

     
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