#53 nonlinear interaction dummies in logit/probit

closed
None
5
2015-03-12
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 2 of 2)
  • 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

     
  • Sven S.

    Sven S. - 2015-03-12
    • status: open --> closed
    • Group: --> Next_Release_(example)
     
  • Sven S.

    Sven S. - 2015-03-12

    Ok, I'm closing this now because it seems clear that this will not happen in the core gretl program. It should be doable in principle to contribute a function package that does the same thing as Stata's 'inteff'.

    Sorry,
    sven

     
<< < 1 2 (Page 2 of 2)

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