I have a regression (OLS) output and was hoping to get some suggestions on how I might be able to interpret the coefficient using Stata or SAS. The dependent variable is ‘standard deviation of residuals over a firm-specific eight-year rolling window’ (e.g., quality or similar construct). The independent variable of interest is an interaction term of two indicator variables. In essence, I was looking to see if there is a way to interpret the coefficient something like this: Movement of 1*1 (interaction variable) from 0 to 1 is associated with xxx standard deviations positive movement of the dependent variable. I understand it is likely not possible to do percent or percentage points interpretation so I am taking the interpretation in terms of standard deviations. Many thanks in advance.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.