Hello,
I am looking for some good papers (preferably in financial economics area, but not limited to) with sound statistical explanation of interaction model.
I find the following paper helpful...
Article Interaction Effects in Econometrics
Most of the papers are found in psychology and management. But you can refer to these as well:
Baron, R. M., & Kenny, D. A. (1986). The moderator-mediator variable distinction in social psychological research: Conceptual, strategic, and statistical considerations. Journal of Personality and Social Psychology, 51, 1173-1182.
Furst, G., & Ghisletta, P. (2009, August). Statistical interaction between
two continuous (latent) variables. Paper presented to the 11th Congress of the Swiss Psychological Society, University of Neuchatel.
Hayes, A. F. (2013). Introduction to mediation, moderation, and conditional process analysis: A regression based approach. New York: The Guilford Press.
A good explanation can be found in Pg 52-67 of A guide to modern econometrics by Marno Verbeek.
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