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st: Estimating SEs for interacted IVs in a 2-stage Probit
Dear Statalist readers,
the interacted endogenous variables have been already discussed
here several times.
The way to deal with them is to interact the exogenous variable (X3)
with the instrument (Z) and use this new variable (Z*X3) as an
instrument for the interaction term (X2*X3). Here X2 is endogenous
and Z is an instrument for it.
In my model the second stage is a Probit and the standard errors
will be estimated (by -ivprobit- and -mfx-) incorrectly in the model
with an interaction term (Ai & Norton (2003) "Interaction terms in
logit and probit models", http://www.unc.edu/~enorton/AiNorton.pdf ),
i.e. mfx fails in this case since X2*X3 is not independent from X2 and X3.
How do I adopt the standard solution
to get the correct standard errors in this case ?
Is there any standard command or user-written program for this purpose?
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