intEff: Functions for Estimating Interaction Effects in Logit and...

In DAMisc: Dave Armstrong's Miscellaneous Functions

Description

Norton and Ai (2003) and Norton, Wang and Ai (2004) discuss methods for calculating the appropriate marginal effects for interactions in binary logit/probit models. These functions are direct translations of the Norton, Wang and Ai (2004) Stata code.

Usage

	intEff(obj, vars, data)

Arguments

obj	A binary logit or probit model estimated with glm.
vars	A vector of the two variables involved in the interaction.
data	A data frame used in the call to obj.

Value

A data frame with the following variable:

int_eff	The correctly calucalted marginal effect.
linear	The incorrectly calculated marginal effect following the linear model analogy.
phat	Predicted Pr(Y=1|X).
se_int_eff	Standard error of int_eff.
zstat	The interaction effect divided by its standard error

Author(s)

Dave Armstrong (UW-Milwaukee, Department of Political Science)

References

Norton, Edward C., Hua Wang and Chunrong Ai. 2004. Computing Interaction Effects and Standard Errors in Logit and Probit Models. The Stata Journal 4(2): 154-167.

Ai, Chunrong and Edward C. Norton. 2003. Interaction Terms in Logit and Probit Models. Economics Letters 80(1): 123-129.

Norton, Edward C., Hua Wang and Chunrong Ai. 2004. inteff: Computing Interaction Effects and Standard Errors in Logit and Probit Models, Stata Code. http://www.stata-journal.com/software/sj4-3/.

Examples

data(france)
mod <- glm(voteleft ~ age*lrself + retnat + male, data=france, family=binomial)
out <- intEff(obj=mod, vars=c("age", "lrself"), data=france)
plot(out$phat, out$int_eff, xlab="Predicted Pr(Y=1|X)", 
	ylab = "Interaction Effect")
ag <- aggregate(out$linear, list(out$phat), mean)
lines(ag[,1], ag[,2], lty=2, col="red", lwd=2)
legend("topright", c("Correct Marginal Effect", "Linear Marginal Effect"), 
	pch=c(1, NA), lty=c(NA, 2), col=c("black", "red"), lwd=c(NA, 2), inset=.01)

Example output

Loading required package: car
Loading required package: effects
Loading required package: carData

Attaching package: 'carData'

The following objects are masked from 'package:car':

    Guyer, UN, Vocab

lattice theme set by effectsTheme()
See ?effectsTheme for details.

DAMisc documentation built on May 2, 2019, 4:52 p.m.