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st: creating polynomial expansion

From   Kit Baum <>
Subject   st: creating polynomial expansion
Date   Mon, 22 May 2006 18:01:47 -0400

Rafa said

What I am doing is to create the variables: x^2 , x^3 , z^2 and z^3 and then
I am creating all possible interactions (without including those ones within
the same variable, e.g. x * x^2). In a second step I regress these variables
against "y". The procedure gets quite unmanageable with three variables and
higher order polynomials.

I am wondering if there is a code that generates the variables of the
polynomial expansion, or if there is a way to program this (perhaps there is
something in Mata that I am not aware of).

The code for whitetst (ssc type whitetst.ado) does something quite similar for squares and cross-products (including the pruning necessary if your varlist includes, e.g., x and x^2). You could readily adapt it to handle cubes.

Kit Baum, Boston College Economics

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