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st: Interacting the main regressor with age in cnreg


From   Jen Zhen <jenzhen99@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Interacting the main regressor with age in cnreg
Date   Sat, 18 Dec 2010 20:48:25 +0100

Dear list members,

I have run the following estimation, where "age" is centered around
the sample mean of "Age", and "Age" is what it suggests it is:
cnreg outcome X age age2 age3 year_*, censored(cens)

Now I wanted to see whether the marginal effect of "X" varies by "Age"
or, for that matter, by "age". Hence, on top of controlling for age,
age^2 and age^3, I decided to include also interactions of the latter
three variables with "X":
cnreg outcome X X_age X_age2 X_age3 age age2 age3 year_*, censored(cens)

I would have expected the coefficient on "X" to be the same as in the
first equation, seeing that at the sample mean "age", "age2" and
"age3" and hence also the three interactions of "X" with these should
be zero anyway. Nonetheless the coefficient which I now get for X is
way larger (this is also true, btw, when I interact also the year
dummies with the three age terms), and hence the predicted marginal
effect of X is very different from what I had obtained previously.

Where is my reasoning faulty here?

Thanks a lot,
JZ
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