what I am interested in learning is how to calculate the std error of the marginal effects of a X variable when it is part of an interaction, especially in robust regression.
There are tipically two cases that interest me: when there is an interaction between two continuous variables and when there is an interaction between a continuous and a binary variable. Let's our model be a simple one:
$Y= b_0 + b_1X + b_2Z + b_3XZ + e$
I know how to calculate the marginal effect of X in both cases, but not how to calculate its standard error. Please, any hints on how to do this, both theoretically or in R code, may be very helpfull.