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Re: st: XTIVREG2 with Endogenous Interaction Variable


From   "Suryadipta Roy" <sroy2138@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: XTIVREG2 with Endogenous Interaction Variable
Date   Thu, 25 Sep 2008 14:39:05 -0400

Dear Statalisters,

I have an issue that is very similar to what Erasmo had described, and
was wondering if somebody has already responded to it. Any help is
most appreciated.

Thanks!
Suryadipta.

Suryadipta Roy, Ph.D.
Assistant Professor of Economics,
Phillips School of Business,
833 Montlieu Avenue,
High Point University,
High Point, NC- 27262.
336-841-9163.

On Tue, Sep 23, 2008 at 4:13 AM, Erasmo Giambona <e.giambona@gmail.com> wrote:
> Dear Statalisters,
>
> I have the following model to be estimated for a panel: y = a +bx + cz
> + d(x*z) + (....),
>
> where x is endogenous. Therefore, I estimated the model using
> XTIVREG2. However, I am concerned that because x*z is the interaction
> between an endogenous variable and an exogenous variable, it is itself
> an endogenous variable. Obviously, to find a good instrument for this
> interaction variable is probably more complex than usual. Billet, Kim
> and Mauer (2007) suggests that estimating the model via nonlinear GMM
> would address the endogeneity of the interaction variable.
>
> I would appreciate if somebody can suggest how I could do nonlinear
> GMM within XTIVREG2 or STATA in general.
>
> Thanks,
> Erasmo
>
>
> Reference
>
> MATTHEW T. BILLETT, TAO-HSIEN DOLLY KING, and DAVID C. MAUER, Growth
> Opportunities and the Choice of Leverage, Debt Maturity, and
> Covenants, THE JOURNAL OF FINANCE • VOL. LXII, NO. 2 • APRIL 2007
>
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