Thanks for this, Kjetil.  I see that I was getting interpretation and  
estimation confused.

My apologies on not including the paper title.  For the benefit of  
those who read this post after me, it is:

Ai, Chunrong, and Edward C. Norton. 2003. "Interaction Terms in Logit  
and Probit Models." Economic Letters 80:123-129.

You mentioned that you found a number of papers not supporting their  
conclusions.  I did a google search and found one paper amending Ai  
and Norton's results:  "The Treatment Effect, the Cross Difference,  
and the Interaction Term in Nonlinear “Difference-in-Differences”  
Models" by Patrick A. Puhani.  Did you find others?  If you wouldn't  
mind sending along the citations for what you found, that would be  
very helpful.

Many thanks!

Andrew Miles

On Apr 29, 2010, at 10:45 PM, Kjetil Halvorsen wrote:

> see comments below.
>
> On Wed, Apr 28, 2010 at 4:29 PM, Andrew Miles  
> <rstuff.miles@gmail.com> wrote:
>> I recently became aware of the article by Ai and Norton (2003)  
>> about how
>> interaction terms are problematic in nonlinear regression (such as  
>> logistic
>> regression).  They offer a correct way of estimating interaction  
>> effects and
>> their standard errors.
>>
>> My question is:  Does the glm() function take these corrections  
>> into account
>> when estimating interaction terms for a logistic regression (i.e.  
>> when
>> family=binomial)?
>
> No.
>
>  If not, is there a function somewhere that allows for
>> correct estimation?
>
> The estimation you get from glm is correct. The discussion in the
> paper you referred
> is about how to interpret the estimation results! A google search on
> the referred paper
> (you did'nt give the title), show up various later papers referring to
> it, and not supporting their
> conclusions.
>
> Linear (and non-linear) model books badly needs chapters with titles
> such as "post-estimation analysis". glm does the estimation for you.
> It cannot do the analysis for you!
>
> Probably you are looking for something such as CRAN package "effects".
>
> Kjetil
>
>
>
>>
>> I've looked the documentation for glm and couldn't find an answer,  
>> nor have
>> I seen the issue addressed in the forums or in the examples of  
>> logistic
>> regression in R that I've found online.
>>
>> Thanks!
>>
>> Andrew Miles
>>
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>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>


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