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st: AW: IVreg2 on interaction term


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: IVreg2 on interaction term
Date   Wed, 14 Apr 2010 16:27:50 +0200

<> 

So -ssc d ivreg2- by Baum et al. allows the following syntax, according to
its help file:


" ivreg2 depvar [varlist1] (varlist2=varlist_iv)"


So you have a mandatory round paranthesis, where you have a -varlist- on the
left hand side of the equal sign, and one on the RHS. So (d1 d1_d2 = iv
iv_d2) would be acceptable. You seem to want to create a one-to-one mapping
of instruments to endogenous covariates, but the -syntax- does not allow for
that...


HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von D. Heine
Gesendet: Mittwoch, 14. April 2010 16:22
An: statalist@hsphsun2.harvard.edu
Betreff: st: IVreg2 on interaction term

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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