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Re: st: Interactions with instrumental variables


From   Chris Rohlfs <car@uchicago.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Interactions with instrumental variables
Date   Sun, 30 Mar 2003 16:55:34 -0600 (CST)

dear jennifer,

i'm currently working on a project where i'm doing exactly that.  the way
i decided to solve the problem was by bootstrapping, which i think many
people would prefer to the "correct" standard errors, given that it's a
non-standard procedure.

Stas Kolenikov has a really helpful tutorial on how to use the - bstrap -
command for such purposes.  he links to it from his webpage:
http://www.komkon.org/~tacik/stata/

i haven't gone & worked out any algebra for the "correct" standard errors,
but if that's what you want to do, then i'd recommend looking into the -
ml - procedure & investing in the Gould & Sribney book that scott merriman
just mentioned: http://www.stata.com/bookstore/mle.html

chris

On Sun, 30 Mar 2003, Jennifer Alix wrote:

> 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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