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

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  • Cornelissen, Thomas
  • Sonderhof, Katja

Abstract

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.

Suggested Citation

  • Cornelissen, Thomas & Sonderhof, Katja, 2008. "Marginal effects in the probit model with a triple dummy variable interaction term," Hannover Economic Papers (HEP) dp-386, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    • Handle: RePEc:han:dpaper:dp-386
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    File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-386.pdf
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    References listed on IDEAS

    as
    1. Edward C. Norton & Hua Wang & Chunrong Ai, 2004. "Computing interaction effects and standard errors in logit and probit models," Stata Journal, StataCorp LP, vol. 4(2), pages 154-167, June.
    2. Jonathan Gruber & James M. Poterba, 1993. "Tax Incentives and the Decision to Purchase Health Insurance: Evidence from the Self-Employed," NBER Working Papers 4435, National Bureau of Economic Research, Inc.
    3. Ai, Chunrong & Norton, Edward C., 2003. "Interaction terms in logit and probit models," Economics Letters, Elsevier, vol. 80(1), pages 123-129, July.
    4. Jonathan Gruber & James Poterba, 1994. "Tax Incentives and the Decision to Purchase Health Insurance: Evidence from the Self-Employed," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 109(3), pages 701-733.
    5. Gruber, Jonathan, 1994. "The Incidence of Mandated Maternity Benefits," American Economic Review, American Economic Association, vol. 84(3), pages 622-641, June.
    6. Thomas Cornelissen & Katja Sonderhof, 2008. "INTEFF3: Stata module to compute partial effects in a probit or logit model with a triple dummy variable interaction term," Statistical Software Components S456903, Boston College Department of Economics, revised 09 Jul 2009.
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    Cited by:

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    3. Shao‐Hsun Keng & Sheng‐Jang Sheu, 2013. "The Effect Of National Health Insurance On Mortality And The Ses–Health Gradient: Evidence From The Elderly In Taiwan," Health Economics, John Wiley & Sons, Ltd., vol. 22(1), pages 52-72, January.

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    More about this item

    Keywords

    difference-in-difference-in-differences; probit model; interaction terms; marginal effects; Stata;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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