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st: Date: Tue, 22 Nov 2005 14:39:05 +0100
I am trying to estimate the following model using instrumental
The final stage has two independent variables of interest, plus an
interaction between them:
Z = aX + bY + c(X*Y) + more variables
I want to instrument variable X in a first stage regression using a set
instruments that contain Y and some other variables that are not in the
final stage. Of course the variable X*Y will have to reflect this
instrumenting as well.
I want to instrument for X with just M (excluding MY), and
then substitute Xhat*Y for XY in the second stage. I know that I have to
correct standard errors "manually".
I have done this and I have corrected standard errors "manually". My
question is how I can perform a over-identification test (test that my
instrument only affects Y through X) when I don`t use the ivreg command?
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