Help the Stat Consulting Group by giving a gift

How can I understand a categorical by continuous interaction in logistic regression? (Stata 10 and earlier)

Interactions in logistic regression models can be trickier than interactions in comparable OLS regression. Many researchers are not comfortable interpreting the results in terms of the raw coefficients which are scaled in terms of log odds. The interpretation of interactions in log odds is done basically the same way as in OLS regression. However, many researchers prefer to interpret results in terms of probabilities. The shift from log odds to probabilities is a nonlinear transformation which means that the interactions are no longer a simple linear function of the predictors. This FAQ page will try to help you to understand categorical by continuous interactions in logistic regression models both with and without covariates.

We will use an example dataset, **logitcatcon**, that has one binary predictor, **f**, which
stands for female and one continuous predictor **s**.
In addition, the model will include **fs** which is the **f** by **s** interaction.
We will begin by loading the data, creating the interaction variable and running the logit model.

As you can see all of the variables in the above model including the interaction term are statistically significant. If this were an OLS regression model we could do a very good job of understanding the interaction using just the coefficients in the model. The situation in logistic regression is more complicated because the value of the interaction effect changes depending upon the value of the continuous predictor variable. To begin to understand what is going on consider the Table 1 below.use http://www.ats.ucla.edu/stat/data/logitcatcon, clear generate fs = f*s logit y f s fs, nologLogistic regression Number of obs = 200 LR chi2(3) = 71.01 Prob > chi2 = 0.0000 Log likelihood = -96.28586 Pseudo R2 = 0.2694 ------------------------------------------------------------------------------ y | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- f | 5.786811 2.302491 2.51 0.012 1.274012 10.29961 s | .1773383 .0364356 4.87 0.000 .1059259 .2487507 fs | -.0895522 .0439153 -2.04 0.041 -.1756246 -.0034799 _cons | -9.253801 1.941857 -4.77 0.000 -13.05977 -5.44783 ------------------------------------------------------------------------------

Table 1 contains predicted probabilities, differences in predicted probabilities and the confidence interval of the difference in predicted probabilities while holding the continuous predictor at 40. The first value, .1034, is the predicted probability whenTable 1: Predicted probabilities when s=40 f=0 f=1 change LB UB .1034 .5111 .4077 .2182 .5972

We obtained all the values for Table 1 using the **prvalue** command which is part of
**spostado**. The **spostado** package is a collection of utilities for categorical
and non-normal models written by J. Scott Long and Jeremy Freese. You can obtain the
**spostado** utilities by typing **findit spostado** into the Stata command line and following
the instructions.

To get the values for Table 1 we will run **prvalue** twice; once with **f**=0
and once with **f**=1 while holding the continuous predictor at the value 450. The first
time we run **prvalue** we use the **save**
option to retain the first probability. The second time we use the **diff** option so that
we get the difference between the two probabilities.

prvalue, x(f=0 s=40 fs=0) delta savelogit: Predictions for y Confidence intervals by delta method 95% Conf. Interval Pr(y=1|x): 0.1034 [ 0.0052, 0.2015] Pr(y=0|x): 0.8966 [ 0.7985, 0.9948] f s fs x= 0 40 0

Next, we need to step through a bunch of different values for the of continuous predictor variable. The code fragment below will loop through 25 values ofprvalue, x(f=1 s=40 fs=40) delta difflogit: Change in Predictions for y Confidence intervals by delta method Current Saved Change 95% CI for Change Pr(y=1|x): 0.5111 0.1034 0.4077 [ 0.2182, 0.5972] Pr(y=0|x): 0.4889 0.8966 -0.4077 [-0.5972, -0.2182] f s fs Current= 1 40 40 Saved= 0 40 0 Diff= 1 0 40

Now, we will run the above code fragment and check out the graph.forvalues x=20(2)70 { quietly prvalue, x(f=0 s=`x' fs=0) save delta quietly prvalue, x(f=1 s=`x' fs=`x') diff delta matrix px =(nullmat(px) \ `x') matrix pdif=(nullmat(pdif) \ pepred[6,2]) matrix pup =(nullmat(pup) \ peupper[6,2]) matrix plo =(nullmat(plo) \ pelower[6,2]) } matrix P = px, pdif, plo, pup matrix colnames P = xvar pdiff pdlo pdup svmat P, names(col) twoway line pdiff pdlo pdup xvar, yline(0) legend(off) name(pdiff, replace) sort /// xtitle(continuous independent variable) ytitle(probability difference) /// title(male-female difference)

The above graph shows how the male-female probability difference varies with changes in the value of

So, that went fairly well but what if there was a covariate in the model? The model below
includes the covariate **cv1**.

As before, all of the coefficients are statistically significant.logit y f s fs cv1, nologLogistic regression Number of obs = 200 LR chi2(4) = 114.41 Prob > chi2 = 0.0000 Log likelihood = -74.587842 Pseudo R2 = 0.4340 ------------------------------------------------------------------------------ y | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- f | 9.983662 3.052651 3.27 0.001 4.000576 15.96675 s | .1750686 .0470026 3.72 0.000 .0829452 .267192 fs | -.1595233 .0570345 -2.80 0.005 -.2713089 -.0477376 cv1 | .1877164 .0347886 5.40 0.000 .1195321 .2559008 _cons | -19.00557 3.371014 -5.64 0.000 -25.61264 -12.39851 ------------------------------------------------------------------------------

We will run the analysis pretty much as before except that we will do it three times holding the covariate at a different value each time. We begin holding the covariate at a low value of 40, then at a medium value of 50 and finally at a high value of 60. The code fragment below computes the predicted differences in probability for each of the three values of the covariate and produces a separate graph for each one.

/* hold cv1 at 40 */ forvalues x=20(2)70 { quietly prvalue, x(f=0 s=`x' fs=0 cv1=40) save delta quietly prvalue, x(f=1 s=`x' fs=`x' cv1=40) diff delta matrix px4 =(nullmat(px4) \ `x') matrix pdif4=(nullmat(pdif4) \ pepred[6,2]) matrix pup4 =(nullmat(pup4) \ peupper[6,2]) matrix plo4 =(nullmat(plo4) \ pelower[6,2]) } matrix P = px4, pdif4, plo4, pup4 matrix colnames P = xvar pdiff4 pdlo4 pdup4 svmat P, names(col) twoway line pdiff4 pdlo4 pdup4 xvar, yline(0) legend(off) name(pdiff40, replace) sort /// ylabel(-1(.5)1) xtitle(continuous independent variable) ytitle(probability difference) /// title(male-female difference with cv1 at 40) /* hold cv1 at 50 */ forvalues x=20(2)70 { quietly prvalue, x(f=0 s=`x' fs=0 cv1=50) save delta quietly prvalue, x(f=1 s=`x' fs=`x' cv1=50) diff delta matrix pdif5=(nullmat(pdif5) \ pepred[6,2]) matrix pup5 =(nullmat(pup5) \ peupper[6,2]) matrix plo5 =(nullmat(plo5) \ pelower[6,2]) } matrix P = pdif5, plo5, pup5 matrix colnames P = pdiff5 pdlo5 pdup5 svmat P, names(col) twoway line pdiff5 pdlo5 pdup5 xvar, yline(0) legend(off) name(pdiff50, replace) sort /// ylabel(-1(.5)1) xtitle(continuous independent variable) ytitle(probability difference) /// title(male-female difference with cv1 at 50) /* hold cv1 at 60 */ forvalues x=20(2)70 { quietly prvalue, x(f=0 s=`x' fs=0 cv1=60) save delta quietly prvalue, x(f=1 s=`x' fs=`x' cv1=60) diff delta matrix pdif6=(nullmat(pdif6) \ pepred[6,2]) matrix pup6 =(nullmat(pup6) \ peupper[6,2]) matrix plo6 =(nullmat(plo6) \ pelower[6,2]) } matrix P = pdif6, plo6, pup6 matrix colnames P = pdiff6 pdlo6 pdup6 svmat P, names(col) twoway line pdiff6 pdlo6 pdup6 xvar, yline(0) legend(off) name(pdiff60, replace) sort /// ylabel(-1(.5)1) xtitle(continuous independent variable) ytitle(probability difference) /// title(male-female difference with cv1 at 60)

It seems clear from looking at the three graphs that the male-female difference in probability increases as

It is also possible to produce these graphs using the **predictnl** command after running
the logistic regression. Below we show the code for producing the graph with the covariate,
**cv1** held at 50.

As the name suggests **predictnl** can calculate nonlinear predictions after any Stata estimation
command and optionally calculates standard errors. We use **predictnl** to calculate the
difference in probabilities. Here is how the parts of the prediction break out. The **se()**
option creates a variable with the standard errors of the predicted values.
First, there is the probability for females.

Which is followed by the probability for males.exp(_b[_cons] + _b[s]*s + _b[cv1]*50+ _b[f] + _b[fs]*s)/(1+exp(_b[_cons] + _b[s]*s + _b[cv1]*50 + _b[f] + _b[fs]*s ))

Here is the complete code for computing the difference in probability and the generation of the graph.exp(_b[_cons] + _b[s]*s + _b[cv1]*50) /(1+exp(_b[_cons] + _b[s]*s + _b[cv1]*50))

predictnl diff_p = exp(_b[_cons] + _b[s]*s + _b[cv1]*50+ _b[f] + _b[fs]*s) /// /(1+exp(_b[_cons] + _b[s]*s + _b[cv1]*50 + _b[f] + _b[fs]*s )) /// - exp(_b[_cons] + _b[s]*s + _b[cv1]*50) /(1+exp(_b[_cons] + _b[s]*s + _b[cv1]*50)) /// , se(diff_se) gen upper = diff_p + diff_se*1.96 gen lower = diff_p - diff_se*1.96 sort s twoway (line diff_p s) (line upper s) (line lower s), name(from_predictnl, replace) /// scheme(lean1) yline(0) legend(position(5) ring(0)) xtitle(continuous independent variable) /// ytitle(probability difference) title(male-female difference with cv1 at 50)

Long, J. S. 2006. Group comparisons and other issues in interpreting models for categorical
outcomes using Stata. Presentation at 5th North American Users Group Meeting. Boston,
Massachusetts.

Xu, J. and J.S. Long, 2005. Confidence intervals for predicted outcomes in regression models for
categorical outcomes. The Stata Journal 5: 537-559.

The content of this web site should not be construed as an endorsement of any particular web site, book, or software product by the University of California.