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http://hdl.handle.net/10419/27196
  
Title:Marginal effects in the probit model with a triple dummy variable interaction term PDF Logo
Authors:Cornelißen, Thomas
Sonderhof, Katja
Issue Date:2008
Series/Report no.:Discussion papers // School of Economics and Management of the Hanover Leibniz University 386
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.
Subjects:difference-in-difference-in-differences
probit model
interaction terms
marginal effects
Stata
JEL:C25
C87
Document Type:Working Paper
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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