Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/27196 
Year of Publication: 
2008
Series/Report no.: 
Diskussionsbeitrag No. 386
Publisher: 
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, Hannover
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

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