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st: IVreg2 on interaction term


From   "D. Heine" <dh363@cam.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: IVreg2 on interaction term
Date   14 Apr 2010 15:21:49 +0100

Dear Statalist,

I would very much appreciate if you could help me with the following concern on IVreg2.

I have an interaction term of two dummy variables (d1, d2), the first is endogenous, d2 is very probably not. I have 1 instrument for d1. I read that an IV-regression in this case must include at least two instruments: my IV for d1 and IV*d2 for the interaction term. My problem is now a technical one: I do not know how to write an ivreg2-command including two IVs. The following does not work and replies "Invalid syntax"

Ivreg2   d2   (d1  =  iv)   (d1_d2  =    iv_d2)

I would very much appreciate if you could point out how such a regression is written.

If you allow, I would like to ask a second question. Is it possible to use newey2 in an IV-regression (I need autocorrelation robust standard errors; data is an unbalanced panel).

Many thanks indeed!

Dirk



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