Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Interactions with instrumental variables


From   Mark Schaffer <[email protected]>
To   [email protected], Jennifer Alix <[email protected]>
Subject   Re: st: Interactions with instrumental variables
Date   Sun, 30 Mar 2003 23:37:11 +0100 (BST)

Jennifer,

Quoting Jennifer Alix <[email protected]>:

> 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...

I'm not aware of any such program out there.  It's not hard, though, to 
interact x1 with the z's to generate instruments that correspond to the 
x1*x2 term.  That said, one needs to be a bit careful here - see the 
Davidson and MacKinnon (1993) book, p. 226 and the references therein.

Hope this helps.

--Mark

> 
> Thanks,
> Jennifer
> 
> 
> *
> *   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/
> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
________________________________________________________________

DISCLAIMER:

This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed.  If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail.  In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail.  Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail.  Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
________________________________________________________________
*
*   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/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index