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

Thomas Cornelissen () and Katja Alena Sonderhof

Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover from Universität Hannover, Wirtschaftswissenschaftliche Fakultät

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.

Keywords: difference-in-difference-in-differences; probit model; interaction terms; marginal effects; Stata (search for similar items in EconPapers)
JEL-codes: C25 C87 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2008-01
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