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st: Date: Tue, 22 Nov 2005 14:39:05 +0100


From   "Silje Aslaksen" <silje.aslaksen@svt.ntnu.no>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Date: Tue, 22 Nov 2005 14:39:05 +0100
Date   Tue, 22 Nov 2005 08:50:29 -0500 (EST)

Hello!

I am trying to estimate the following model using instrumental
variables.
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
of
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?

Silje

Silje.aslaksen@svt.ntnu.no


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