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From |
"A. Mushfiq Mobarak" <ahmed.mobarak@colorado.edu> |

To |
<statalist@hsphsun2.harvard.edu>, <sewin.chan@nyu.edu> |

Subject |
RE: st: ivreg with an interaction |

Date |
Wed, 27 Nov 2002 13:58:25 -0700 |

Prof. Chan: If M is an instrument for X that doesn't appear in your second stage, I would suggest using M*Y as an instrument for X*Y. Note that M*Y is NOT a linear function of M and Y, which is why this is possible to do. You would first generate the variables XY and MY and then do this in ivreg: ivreg Z (X XY = M MY) Y All the std. errors would be automatically calculated properly. If you still want to instrument for X with just M (excluding MY), and then substitute Xhat*Y for XY in the second stage, you would have to correct standard errors "manually" (i.e. ivreg wouldn't help you here). One procedure for doing this is bootstrapping. See the stata manual. Mushfiq A. Mushfiq Mobarak Assistant Professor of Economics University of Colorado at Boulder 303-492-8872 Date: Tue, 26 Nov 2002 14:38:02 -0500 From: "Sewin Chan" <sewin.chan@nyu.edu> Subject: st: ivreg with an interaction Hello, I am trying to estimate the following model using instrumental variables. The final stage has two independent variables of interest, plus an interaction between them: Z = aX + bY + c(X*Y) + more variables I want to instrument variable X in a first stage regression using a set of instruments that contain Y and some other variables that are not in the final stage. Of course the variable X*Y will have to reflect this instrumenting as well. How can I use ivreg to do this? I can't figure out how I can use the first stage to predict X, and then use it in the final stage both by itself and as an interaction. If ivreg can't do this, I know I can still get coefficients by estimating 2 separate regressions in sequence using the predicted values of X in the final stage, but how do I correct the standard errors? To make things more complicated, I also want to use robust and cluster( ). Thank you for any suggestions. Sewin Chan Assistant Professor of Public Policy New York University * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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