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st: instrumenting two endogenous variables and their interaction term


From   Nirina F <fstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: instrumenting two endogenous variables and their interaction term
Date   Sat, 6 Feb 2010 09:37:51 -0500

Hello,
I have done a search in the list but I could not see anything that
corresponds to my following questions:

I am estimating Y = b0+ b1*X1 +b2* X2 + b3*X1*X2 + X3

Y is a dummy variable
X1 is a dummy variable and endogenous,
X2 is continuous and endogenous
X3 is a set of additional control variables.

I am running ivreg2 and so I just dump in the three endogenous
variables and  the instruments and of course I get very wierd results.
And even if they were not wierd, I would not be sure on how to
interpret them.

Do you have a better idea of how I should do it or should I just focus
on the interaction term and instrument it?
Many thanks,

Nirina
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