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Marginal effects in the probit model with a triple dummy variable interaction term

In non-linear regression models, such as the probit model, coefficients cannot be interpreted as marginal effects. The marginal effects are usually non-linear combinations of all regressors and regression coefficients of the model. This paper derives the marginal effects in a probit model with a triple dummy variable interaction term. A frequent application of this model is the regression-based difference-in-difference-in-differences estimator with a binary outcome variable. The formulae derived here are implemented in a Stata program called inteff3 which applies the delta method in order to compute also the standard errors of the marginal effects.
Year of publication:
2008
Authors: Cornelißen, Thomas ; Sonderhof, Katja
Publisher: Hannover : Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Subject: Probit-Modell | Marginalanalyse | PC-Software | Theorie | difference-in-difference-in-differences | probit model | interaction terms | marginal effects | Stata
Series:
Type of publication: Book / Working Paper
Type of publication (narrower categories): Working Paper
Language: English
Other identifiers:
560549555 [GVK]
hdl:10419/27196 [Handle]
RePEc:han:dpaper:dp-386 [RePEc]
Classification: C25 - Discrete Regression and Qualitative Choice Models ; C87 - Econometric Software
Source:
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010264938
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