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

st: How to instrument for an interaction term in the ivreg2


From   BINZHEN WU <binzhenwu@students.wisc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: How to instrument for an interaction term in the ivreg2
Date   Thu, 05 May 2005 00:28:06 -0500

Dear Statalist,

I have a problem in a linear regression analogue to the difference-in-
difference method. The regression runs as the following.

Y=aT+bZ+cTZ+dX,
Here,  TZ=T*Z is the interaction term, T is the time dummy (=1 after 
the policy change), and Z are the continuous endogenous treatments, X 
are exogenous variables.

The instruments for Z is W and V. TW and TV are considered as 
instruments for T*Z.
I am think about the following procedure:
1) predict Z from W, V, TW, TV, T, and X, denoted as Z'
2) let TZ'=T*Z'.
3) run regression of Y on Z', TZ', T, and X.

However, it seems that I cannot implement the procedure by ivreg2.

"ivreg2 Y T X (TZ Z=W V TW TV)" is doing the following procedure: 
1) predict TZ from W, V, TW, TV,T, and X, denoted as (TZ)'
2) predict Z from W, V, TW, TV, T, and X, denoted as Z'
3) run regression of Y on Z', (TZ)', T, and X.

Can anyone tell me which procedure is better? Is there a 
command/syntax to implement the first procedure and adjust the 
standard errors at the same time.

Thank you in advance.

Binzhen 


*
*   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 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index