mpred: Generic Predictive Margins

Many dependent variables of interest in the study of political behaviour and opinion formation are categorical. Statistical models involving such dependent variables generally pose a challenge for their interpretation (apart from the fact that estimation usually is more difficult than in models for numeric dependent variables). Because of the difficulty of interpretation one may want to resort to graphics in which predicted values of a depedent variables are plotted against values of one or more independent variables of interest. The problem of such plots based on models for categorical responses is that the pattern of dependence between dependent variable and independent variable of interest usually is non-linear and typically also depends on values of other independent variables that may not of interest. E.g. in a logistic regression of a binary dependent variable \(Y\) with independent variables \(X_1\) and \(X_2\),


the unit change of a positive outcome probability


is not constant (as in a linear regression), but depends on the particular value of \(x_1\). Furthermore, it also depends on the particular value of \(x_2\). This variation in the unit change, when identified as the “unit effect” of \(x_1\) on \(y\), has led various authors to claim that the presence of interaction terms (e.g. \(x_1x_2\)) in a logistic regression model (or other model for categorical dependent variables) is neither a necessary or sufficient condition for the existence of interaction effects (citation coming soon). A way out of the ensuing complications is to focus instead on the expectation or the average of this unit change:


where \(f(z)\) is either the density function or probability mass function of \(X_2\) or the emprical distribution of \(X_2\). If the empirical distribution is used then this difference is a difference of what is also called the predictive margins of \(Y\) for \(X_1=x_1\) and \(X_1=x_1+1\). A predictive margin for \(X_1=x_1\) from the logistic regression model under discussion is defined as


where \(n\) is the sample size and \(z_1,\ldots,z_n\) are the sample values of \(X_2\). There is an apparent relation between a predictive margin and the “do-operator” in the terminology of Judea Pearl. It is defined in the present context (if \(X_2\) is discrete) as

\[\Pr(Y=1|do(X_1=x_1)) := \sum_z\Pr(Y=1|X_1=x_1,X_2=z)\Pr(X_2=z)\]

where the sum is over the range of \(X_2\) so that \(\sum_z\Pr(X_2=z)=1\). A predictive margin could be interpreted as an estimate of \(\Pr(Y=1|do(X_1=x_1))\).

This package provides a generic function to compute predictive margins from models with given covariate settings. All classes of model objects can be used that have a predict() method that allows for a newdata= argument. The package is available not (yet) available from CRAN but only on GitHub.

If you have the package devtools installed, you can install the package by