On interaction effects : the case of Heckit and two-part models

Manuel Frondel (Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI), Essen), Colin Vance (Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI), Essen and Jacobs-Universität Bremen)

Interaction effects capture the impact of one explanatory variable x1 on the marginal effect of another explanatory variable x2. To explore interaction effects, so-called interaction terms x1x2 are typically included in estimation specifications. While in linear models the effect of a marginal change in the interaction term is equal to the interaction effect, this equality generally does not hold in non-linear specifications (AI, NORTON, 2003). This paper provides for a general derivation of interaction effects in both linear and non-linear models and calculates the formulae of the interaction effects resulting from HECKMAN's sample selection model as well as the Two-Part Model, two regression models commonly applied to data with a large fraction of either missing or zero values in the dependent variable, respectively. Drawing on a survey of automobile use from Germany, we argue that while it is important to test for the significance of interaction effects, their size conveys limited substantive content. More meaningful, and also more easy to grasp, are the conditional marginal effects pertaining to two variables that are assumed to interact.

MoreLess

Year of publication:	2013
Authors:	Frondel, Manuel ; Vance, Colin
Publisher:	Stuttgart : Lucius & Lucius
Subject:	Truncated regression models \| interaction terms \| Mikroökonometrie \| Microeconometrics \| Varianzanalyse \| Analysis of variance \| Theorie \| Theory \| Schätzung \| Estimation \| Verkehrsmittelwahl \| Choice of transport mode \| Deutschland \| Germany

Extent:	1 Online-Ressource (Seite [22]-38)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Sonderausgabe aus: Jahrbücher f. Nationalökonomie u. Statistik ; Bd. (Vol.) 233,1
Other identifiers:	hdl:10419/126083 [Handle]
Classification:	C34 - Truncated and Censored Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011419107