Confidence interval and interaction terms

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Aktar
Posts: 74
Joined: Thu May 21, 2009 5:08 am

Confidence interval and interaction terms

Postby Aktar » Mon Jan 06, 2020 9:25 am

Hello,

I would like to compute the confidence interval for an interaction term.

I have the following model:

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 y_{t}=\beta_{1}x_{1}+\beta_{2}x_{2}+\beta_{3}(x_{1}+x_{2})


The total effect of

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x_{1}
is

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\beta_{1}+\beta_{2}x_{2}


I am just wondering what is the formula for computing the confidence interval of this total effect.

Thank you very much

startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: Confidence interval and interaction terms

Postby startz » Mon Jan 06, 2020 1:26 pm

standard error = sqrt(var(beta1) + x^2*var(beta2) + 2*x*cov(beta1,beta2))


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