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st: Interactions with instrumental variables


From   Jennifer Alix <alix@are.berkeley.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Interactions with instrumental variables
Date   Sun, 30 Mar 2003 11:49:48 -0800

Hello,

Does anyone have a program that allows one to interact an instrumented
variable with other variables in a regression equation AND calculates the
correct standard errors for this?  Example:

y = b1x1+b2x2+b3x1*x2
I want to instrument x2 with some z's to get:
y = b1x1+b2x2hat+b3x1*x2hat

It seems to me that this should be out there somewhere...

Thanks,
Jennifer


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