All,
I am looking at the relationship between two variables, and am trying
to determine the effect that a third variable has on the coefficient
of this relationship. Is it possible to use a sort of 'rolling' dummy
(this is I am sure a completely inaccurate name), whereby instead of
having a standard dummy:
gen dummy = [some expression]
gen var2dummy = var2*dummy
reg var1 var2 var2dummy
When working with interaction terms, you generally want to be including the
lower-order terms used to compute the interactions. e.g....which only has a true/false which isn't suitable here, I multiply
var2 and var3 to create some sort of pseudo-rolling-slope-dummy:
gen var2var3 = var2*var3
reg var1 var2 var2var3
Here, I would take the interpritation to be that for every unit
increase in var3, the coefficient on var2 increases by the coefficient
on var2var3.
Again, you probably want
