[Limdep Nlogit List] interactions in binary logit models

[A.M.Zanni at lboro.ac.uk]

Dear Prof Greene and Limdep  Users
 
  

  I am  analysing a binary logit model with y=yes/no 
responses to a program and a number of dependent
variables including price level and respondents 
socio-economic  characteristics. I would like to interact
the variable describing price levels (continuous) with 
some of these  characteristics (generally categorical) in
order to see how the response vary in accordance with 
price.
 
I was about to ask how to replicate the STATA command 
INTEFF (Ai and Norton, 2003) in Limdep, but then last week 
 came across Prof Greene's recent paper "Testing 
Hypotheses about  interaction terms in nonlinear models" 
2010. Economic Letters 107,  291-296.
 
 I have been trying to use the Limdep codes provided with 
the paper. I came across a couple of problems
both in the set-up and interpretation. Hope you may help.
 
 I started with the following - interaction between 
variable price (continuous) and blwabv (dummy):





Sample   ; All $
Namelist ; z=one,male, age1829, age3044, age4560, TOTHSLD, 
CARYESN,  FLYNOFL,rent, emp,
educ, ret,  
taxpct, totco2, lower, higher, 
CHGMONEY,CHGCLIMA,CHGOTHER,COSTB,TIMEB,  EASYHOME,EASYTRAN 
$
Probit   ; Lhs = reduce ; Rhs = blwabv, price, z$
Calc     ; df = b(1) ; da = b(2)  $
Matrix   ; bz = b(3:26) ; zbar = Mean(z) ; bzz = bz'zbar $
Create   ; ME_Blw = phi(     da*price + bzz)
         ; ME_Abv  = phi(df + da*price + bzz) $
Calc     ; Ran (123479) $
Draw     ; N=100 $
Plot     ; lhs = price ; rhs = ME_Blw,ME_Abv ; fill ; Grid
         ; Title=Partial Effects for a Model with No 
Interaction Term
         ; Yaxis=Partial Effects$





And I obtain the following:





Calc     ; df = b(1) ; da =  b(2)  $
--> Matrix   ; bz = b(3:26) ; zbar = Mean(z) ; bzz = 
bz'zbar $
  Error   400: MNAME(first:last  ).  Matrix size exceeded 
by this  address.
  Error    32: Model command.  Start vals. unreadable or 
wrong # given.
  Error   583: Model command.  Start vals. unreadable or 
wrong # given.
--> Create   ; ME_Blw = phi(     da*price + bzz)
    ; ME_Abv  = phi(df + da*price + bzz) $
  Error   768: Have been unable to break down the command 
segment.
  Error   623: Check for error in DA*PRICE+BZZ
  Error   623: Look for: Unknown names, pairs of 
operators, e.g., */
  Error    61: Compilation error in CREATE. See previous 
diagnostic.
--> Calc     ; Ran (123479) $
--> Draw     ; N=50 $
--> Plot     ; lhs = price ; rhs = ME_Blw,ME_Abv ; fill ; 
Grid
    ; Title=Partial Effects for a Model with No 
Interaction Term
    ; Yaxis=Partial Effects$
  Error    71: Variable list contains a name not in the 
expected table.
  Error   539: Variable list: The unidentifiable string is 
ME_BLW
  Error    83: RHS/RH1  variable in list  not in the 
variable names  table.



  


  

I also tried the following from the paper limdep  command 
file
  







? Model with interaction  effects. Just examine partial 
effect ? graphically.
Sample   ; All $
Create   ; int = blwabv*price$
Probit   ; lhs = reduce
         ; Rhs = blwabv,price, int, one, male, age1829, 
age3044,  age4560, TOTHSLD, CARYESN, FLYNOFL,rent, emp, 
educ, ret, taxpct,
totco2, lower, higher, 
CHGMONEY,CHGCLIMA,CHGOTHER,COSTB,TIMEB,  EASYHOME,EASYTRAN 
$


Matrix   ; bz = b(4:26) ; bzz = bz'zbar $
Calc     ; df = b(1) ; da = b(2) ;di = b(3) $
Create   ; ME_blwi = phi(    da*price + bzz)
         ; ME_abvi  = phi(df + da*price + di * price + 
bzz) $
Calc     ; Ran (123479) $
Draw     ; N=100 $
Plot     ; lhs = price ; rhs = ME_blwi,ME_abvi ; fill ; 
Grid
         ; Title=Partial Effects for Blw and Abv with 
Interaction
         ; Yaxis=Partial Effects $

? Plot results from both models in the same figure
Plot ; lhs = price ; rhs = ME_blwi,ME_abvi ; fill
;grid
;title=Fitted Probabilities for Models with Interaction 
Terms
;Yaxis=Fitted Probabilities (Other Vars. At Means)$



And I obtained more of less the  same (below):







Matrix   ; bz = b(4:26) ; bzz =  bz'zbar $
  Error   442: Matrix: The expression contains an unknown 
name.
  Error   569: Error is in BZ'ZBAR
  Error   583: Problem with matrix. See previous 
diagnostic.
--> Calc     ; df = b(1) ; da = b(2) ;di = b(3) $
--> Create   ; ME_blwi = phi(    da*price + bzz)
    ; ME_abvi  = phi(df + da*price + di * price + bzz) $
  Error   768: Have been unable to break down the command 
segment.
  Error   623: Check for error in DA*PRICE+BZZ
  Error   623: Look for: Unknown names, pairs of 
operators, e.g., */
  Error    61: Compilation error in CREATE. See previous 
diagnostic.
--> Calc     ; Ran (123479) $
--> Draw     ; N=150 $
--> Plot     ; lhs = price ; rhs = ME_blwi,ME_abvi ; fill 
; Grid
    ; Title=Partial Effects for Blw and Abv with 
Interaction
    ; Yaxis=Partial Effects $
  Error    71: Variable list contains a name not in the 
expected table.
  Error   539: Variable list: The unidentifiable string is 
ME_BLWI
  Error    83: RHS/RH1  variable in list  not in the 
variable names  table.
--> Plot ; lhs = price ; rhs = ME_blwi,ME_abvi ; fill
    ;grid
    ;title=Fitted Probabilities for Models with 
Interaction Terms
    ;Yaxis=Fitted Probabilities (Other Vars. At Means)$
  Error    71: Variable list contains a name not in the 
expected table.
  Error   539: Variable list: The unidentifiable string is 
ME_BLWI
  Error    83: RHS/RH1  variable in list  not in the 
variable names  table.



I am not sure what is wrong in  the code above. Also I 
would like to use a logit rather than a probit.  In what 
way would the code above be different?





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would like to reproduce figure 4 in the paper (Greene, 
2010), which seems to be the one I understand the  better, 
however I am not sure how to do that, and which specific 
code to  use. And how do i calculate the standard errors 
and t-ratio as for the  previous case of interaction 
between continuous variables.
  

I also used the other codes  provided with the paper for 
interactions between continuous variables  and they seem 
to be working.





Any help would be much  appreciated.





Best regards




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Dr Alberto M Zanni
 Transport Studies Group
 Department of Civil and Building Engineering
 Loughborough Univesrity
 Loughborough LE11 3TU - UK
 email: a.m.zanni at lboro.ac.uk